Related papers: Optimal Control and Stabilization Problem for Disc…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
This paper will investigate the infinite horizon optimal control and stabilization problems for the Markov jump linear system (MJLS) subject to control input delay. Different from previous works, for the first time, the necessary and…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
Real-world control applications often involve complex dynamics subject to abrupt changes or variations. Markov jump linear systems (MJS) provide a rich framework for modeling such dynamics. Despite an extensive history, theoretical…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
This paper investigates the stabilization and control problems for linear continuous-time mean-field systems (MFS). Under standard assumptions, necessary and sufficient conditions to stabilize the mean-field systems in the mean square sense…
Among various rare events, the effective computation of transition paths connecting metastable states in a stochastic model is an important problem. This paper proposes a stochastic optimal control formulation for transition path problems…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
In this paper, we study the problem of optimizing the stability of positive semi-Markov jump linear systems. We specifically consider the problem of tuning the coefficients of the system matrices for maximizing the exponential decay rate of…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
In this paper, we consider a linear-quadratic optimal control problem of mean-field stochastic differential equation with jump diffusion, which is also called as an MF-LQJ problem. Here, cost functional is allowed to be indefinite. We use…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
This paper aims to develop the stability theory for singular stochastic Markov jump systems with state-dependent noise, including both continuous- and discrete-time cases. The sufficient conditions for the existence and uniqueness of a…