Related papers: Technical Report: Infinite Horizon Discrete-Time L…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
Considering discrete-time linear time-varying systems with unknown dynamics, controllers guaranteeing bounded closed-loop trajectories, optimal performance and robustness to process and measurement noise are designed via convex feasibility…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
Here we will provide the proofs of the results stated in the Infinite Horizon LQG Control section of [1] by focusing on the control law and the related MARE. The analysis of the observation case can be achieved in a dual way and it is…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
This study focuses on the problem of optimal mismatched disturbance rejection control for uncontrollable linear discrete-time systems. In contrast to previous studies, by introducing a quadratic performance index such that the regulated…
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…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to the structure of risk-sensitive investment management…
It is well-known that linear dynamical systems with Gaussian noise and quadratic cost (LQG) satisfy a separation principle. Finding the optimal controller amounts to solving separate dual problems; one for control and one for estimation.…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…
This paper proposes a differentiable linear quadratic Model Predictive Control (MPC) framework for safe imitation learning. The infinite-horizon cost is enforced using a terminal cost function obtained from the discrete-time algebraic…
Recent studies on encrypted control using homomorphic encryption allow secure operation by directly performing computations on encrypted data without decryption. Implementing dynamic controllers on encrypted data presents unique challenges…
This paper studies the data-driven synthesis of linear quadratic integral (LQI) controllers for continuous-time systems. The objective is to achieve optimal state-feedback control with integral action for reference tracking using only…
We revisit in this paper the discrete-time linear quadratic regulator (LQR) problem from the perspective of receding-horizon policy gradient (RHPG), a newly developed model-free learning framework for control applications. We provide a…