Related papers: Equilibrium for Time-Inconsistent Stochastic Linea…
In this paper, we formulate and solve a guaranteed cost control problem for a class of uncertain linear stochastic quantum systems. For these quantum systems, a connection with an associated classical (non-quantum) system is first…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
The Error-in-Variables model of system identification/control involves nontrivial input and measurement corruption of observed data, resulting in generically nonconvex optimization problems. This paper performs full-state-feedback…
We consider adaptive control of the Linear Quadratic Regulator (LQR), where an unknown linear system is controlled subject to quadratic costs. Leveraging recent developments in the estimation of linear systems and in robust controller…
We study the adaptive control of an unknown linear system with a quadratic cost function subject to safety constraints on both the states and actions. The challenges of this problem arise from the tension among safety, exploration,…
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…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
This work proposes an open-loop methodology to solve chance constrained stochastic optimal control problems for linear systems with a stochastic control matrix. We consider a joint chance constraint for polytopic time-varying target sets…
With the outstanding performance of policy gradient (PG) method in the reinforcement learning field, the convergence theory of it has aroused more and more interest recently. Meanwhile, the significant importance and abundant theoretical…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
We present a continuous-time equivalent to the well-known iterative linear-quadratic algorithm including an implementation of a backtracking line-search policy and a novel regularization approach based on the necessary conditions in the…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = $\alpha$ t--d (bdt + $\sigma$dW t). We provide a new characterization of the solution in terms of a set of Riccati…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
This paper presents a novel factor graph-based approach to solve the discrete-time finite-horizon Linear Quadratic Regulator problem subject to auxiliary linear equality constraints within and across time steps. We represent such optimal…
We investigate the discrete-time stochastic linear quadratic control problem for a population of cooperative agents under the hard equality constraint on total control inputs, motivated by demand response in renewable energy systems. We…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…