Related papers: Linear quadratic stochastic control problems with …
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost…
This paper deals with some reachability issues for piecewise linear switched systems with time-dependent coefficients and multiplicative noise. Namely, it aims at characterizing data that are almost reachable at some fixed time T > 0…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…
We propose a new risk-constrained formulation of the classical Linear Quadratic (LQ) stochastic control problem for general partially-observed systems. Our framework is motivated by the fact that the risk-neutral LQ controllers, although…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
Asymptotic stability in economic receding horizon control can be obtained under a strict dissipativity assumption, related to positive-definiteness of a so-called rotated cost, and through the use of suitable terminal cost and constraints.…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
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…
This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…
In this paper, the open-loop, closed-loop, and weak closed-loop solvability for discrete-time linear-quadratic (LQ) control problem is considered due to the fact that it is always open-loop optimal solvable if the LQ control problem is…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…