Related papers: Linear Quadratic Optimal Control and Stabilization…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
We study the finite-horizon optimal control problem with quadratic functionals for an established fluid-structure interaction model. The coupled PDE system under investigation comprises a parabolic (the fluid) and a hyperbolic (the solid)…
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…
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
We study L 1 -optimal stabilization of linear systems with finite and infinite horizons. Main results concern the existence, uniqueness and structure of optimal solutions, and the robustness of optimal cost.
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…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…
This paper investigates the infinite horizon optimal control problem (OCP) for space applications characterized by nonlinear dynamics. The proposed approach divides the problem into a finite horizon OCP with a regularized terminal cost,…
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…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
In this paper, we develop a provably correct optimal control strategy for a finite deterministic transition system. By assuming that penalties with known probabilities of occurrence and dynamics can be sensed locally at the states of the…
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
This work considers the stability of nonlinear stochastic receding horizon control when the optimal controller is only computed approximately. A number of general classes of controller approximation error are analysed including…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
This paper investigates a zero-sum stochastic linear-quadratic (SLQ, for short) Stackelberg differential game problem, where the coefficients of the state equation and the weighting matrices in the performance functional are regulated by a…