Related papers: Linear Quadratic Optimal Control and Stabilization…
In this paper, we consider the $H_{\infty}$ optimal control problem for a Markovian jump linear system (MJLS) over a lossy communication network. It is assumed that the controller communicates with each actuator through a different…
This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…
This paper proposes a novel lifting method which converts the standard discrete-time linear periodic system to an augmented linear time-invariant system. The linear quadratic optimal control is then based on the solution of the…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
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,…
We study the Linear-Quadratic optimal control problem for a general class of infinite-dimensional passive systems, allowing for unbounded input and output operators. We show that under mild assumptions, the finite cost condition is always…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we show that optimal control of G-SDDE exists for the finite…
An optimal control law for networked control systems with a discrete-time linear time-invariant (LTI) system as plant and networks between sensor and controller as well as between controller and actuator is proposed. This controller is…
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…
We consider a decentralized networked control system (DNCS) consisting of a remote controller and a collection of linear plants, each associated with a local controller. Each local controller directly observes the state of its co-located…
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…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE) which is a matrix-valued quadratic backward…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
As it is popular known, Riccati equation is the key basic tool for optimal control in the modern control theory. The solvability conditions of optimal control, stabilization conditions and controller design are all based on the Riccati…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…