Related papers: Infinite-horizon Linear Optimal Control of Markov …
In this paper, we study state-feedback control of Markov jump linear systems with partial information. In particular, we assume that the controller can only access the mode signals according to a hidden-Markov observation process. Our…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
This paper investigates state feedback control laws for Markov jump linear systems with state and mode-observation delays. An assumption in this study is that the delay of mode observation obeys an exponential distribution. Also, we raise…
In this paper, we consider the $H_{\infty}$ optimal control problem for a Markovian jump linear system (MJLS) over a lossy communication network. It is assumed that the controller communicates with each actuator through a different…
This paper will investigate the infinite horizon optimal control and stabilization problems for the Markov jump linear system (MJLS) subject to control input delay. Different from previous works, for the first time, the necessary and…
We develop a model-free approach to optimally control stochastic, Markovian systems subject to a reach-avoid constraint. Specifically, the state trajectory must remain within a safe set while reaching a target set within a finite time…
We consider the joint problem of system identification and inverse optimal control for discrete-time stochastic Linear Quadratic Regulators. We analyze finite and infinite time horizons in a partially observed setting, where the state is…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
Control loops closed over wireless links greatly benefit from accurate estimates of the communication channel condition. To this end, the finite-state Markov channel model allows for reliable channel state estimation. This paper develops a…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state…