Related papers: Stochastic Linear Quadratic Optimal Control with G…
In this paper, we consider the adaptive linear quadratic Gaussian control problem, where both the linear transformation matrix of the state $A$ and the control gain matrix $B$ are unknown. The proposed adaptive optimal control only assumes…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
We consider the problem of controlling an unknown linear dynamical system under a stochastic convex cost and full feedback of both the state and cost function. We present a computationally efficient algorithm that attains an optimal…
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…
In this work, we revisit the Linear Quadratic Gaussian (LQG) optimal control problem from a behavioral perspective. Motivated by the suitability of behavioral models for data-driven control, we begin with a reformulation of the LQG problem…
In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
We study the problem of \textit{safe control of linear dynamical systems corrupted with non-stochastic noise}, and provide an algorithm that guarantees (i) zero constraint violation of convex time-varying constraints, and (ii) bounded…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem with fixed terminal states and integral quadratic constraints. A Riccati equation with infinite terminal value is introduced, which is uniquely solvable…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…