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The challenge of constructing feedback control laws for risk-averse optimal control of partial differential equations (PDEs) with random coefficients is addressed. The control objective composes a tracking-type cost with the nonlinear…
The purpose of this paper is to study the mixed linear quadratic Gaussian (LQG) and $H_\infty$ optimal control problem for linear quantum stochastic systems, where the controller itself is also a quantum system, often referred to as…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…
The convergence of policy gradient algorithms in reinforcement learning hinges on the optimization landscape of the underlying optimal control problem. Theoretical insights into these algorithms can often be acquired from analyzing those of…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
Designing the optimal linear quadratic regulator (LQR) for a large-scale multi-agent system (MAS) is time-consuming since it involves solving a large-size matrix Riccati equation. The situation is further exasperated when the design needs…
Distributed control problems under some specific information constraints can be formulated as (possibly infinite dimensional) convex optimization problems. The underlying motivation of this work is to develop an understanding of the optimal…
In this paper, we present a structured solver based on the preconditioned conjugate gradient method (PCGM) for solving the linear quadratic (LQ) optimal control problem for $K \times N$ sub-systems connected in a two-dimensional (2D) grid…
We propose in this paper a multilevel correction method to solve optimal control problems constrained by elliptic equations with the finite element method. In this scheme, solving optimization problem on the finest finite element space is…
We study a class of nonlinear hyperbolic partial differential equations with boundary control. This class describes chemical reactions of the type ``$A \to$ product'' carried out in a plug flow reactor (PFR) in the presence of an inert…
A popular approach to designing finite-dimensional boundary controllers for partial differential equations (PDEs) is to decompose the PDE into independent modes and focus on the dominant ones while neglecting highly damped residual modes.…
This paper is concerned with a linear quadratic optimal control for a class of singular Volterra integral equations. Under proper convexity conditions, optimal control uniquely exists, and it could be characterized via Frechet derivative of…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
This paper investigates numerical methods for solving stochastic linear quadratic (SLQ) optimal control problems governed by stochastic partial differential equations (SPDEs). Two distinct approaches, the open-loop and closed-loop ones, are…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
The Linear Quadratic Gaussian (LQG) problem is a classic and widely studied model in optimal control, providing a fundamental framework for designing controllers for linear systems subject to process and observation noises. In recent years,…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…