Related papers: Delayed Optimal Control of Stochastic LQ Problem
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
Time delays are ubiquitous in industry, and they must be accounted for when designing control strategies. However, numerical optimal control (NOC) of delay differential equations (DDEs) is challenging because it requires specialized…
In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is…
In this paper, we study the linear quadratic (LQ) optimal control problem of linear systems with private input and measurement information. The main challenging lies in the unavailability of other regulators' historical input information.…
In the past couple of decades, non-quadratic convex penalties have reshaped signal processing and machine learning; in robust control, however, general convex costs break the Riccati and storage function structure that make the design…
In this article we address the issue of uniqueness for differential and algebraic operator Riccati equations, under a distinctive set of assumptions on their unbounded coefficients. The class of boundary control systems characterized by…
This paper presents weighted stochastic Riccati (WSR) equations for designing multiple types of optimal controllers for linear stochastic systems. The stochastic system matrices are independent and identically distributed (i.i.d.) to…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
We give answer to an open question by proving a sufficient optimality condition for state-linear optimal control problems with time delays in state and control variables. In the proof of our main result, we transform a delayed state-linear…
In this paper, we investigate the closed-loop solvability of the quantum stochastic linear quadratic optimal control problem. We derive the Pontryagin maximum principle for the linear quadratic control problem of infinite-dimensional…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…
This paper studies the linear quadratic regulation (LQR) problem of unknown discrete-time systems via dynamic output feedback learning control. In contrast to the state feedback, the optimality of the dynamic output feedback control for…
This paper is concerned with the problems of optimal control and stabilization for networked control systems (NCSs), where the remote controller and the local controller operate the linear plant simultaneously. The main contributions are…
In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the large time horizons. We establish the so-called turnpike…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
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…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this paper we consider a class of conjugate discrete-time Riccati equations, arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Under mild and reasonable assumptions, the existence of…