Related papers: On linear-quadratic optimal control of implicit di…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
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…
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
This article is a continuation of a previous work where we studied infinite horizon control problems for which the dynamic, running cost and control space may be different in two half-spaces of some euclidian space $\R^N$. In this article…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
A classical approach for solving discrete time nonlinear control on a finite horizon consists in repeatedly minimizing linear quadratic approximations of the original problem around current candidate solutions. While widely popular in many…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
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…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
The solution to the infinite horizon optimal control problem for linear distributed time-delay systems is presented. The proposal is based on the use of the Cauchy solution for distributed time-delay systems. In contrast with previous…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
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…
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…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…