Related papers: On Linear Quadratic Optimal Control of Discrete-Ti…
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…
In this paper, we consider the problem of distributed optimal control of linear dynamical systems with a quadratic cost criterion. We study the case of output feedback control for two interconnected dynamical systems, and show that the…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
Linear-Quadratic optimal controls are computed for a class of boundary controlled, boundary observed hyperbolic infinite-dimensional systems, which may be viewed as networks of waves. The main results of this manuscript consist in…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
We study the performance of the certainty equivalent controller on Linear Quadratic (LQ) control problems with unknown transition dynamics. We show that for both the fully and partially observed settings, the sub-optimality gap between the…
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…
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…
In this paper we study the linear quadratic regulation (LQR) problem for dynamical systems coupled over large-scale networks and obtain locally computable low-complexity solutions. The underlying large or even infinite networks are…
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 consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
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 paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
The linear quadratic regulator problem is central in optimal control and was investigated since the very beginning of control theory. Nevertheless, when it includes affine state constraints, it remains very challenging from the classical…
In this study, we provide an interpretation of the dual differential Riccati equation of Linear-Quadratic (LQ) optimal control problems. Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
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…
Contraction properties of the Riccati operator are studied within the context of non-stationary linear-quadratic optimal control. A lifting approach is used to obtain a bound on the rate of strict contraction, with respect to the Riemannian…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynamics may depend on both the state and control. Based on…