Related papers: Inverse Quadratic Optimal Control for Discrete-Tim…
We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to…
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…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
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…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state.…
This paper presents a novel approach to synthesize dual controllers for unknown linear time-invariant systems with the tasks of optimizing a quadratic cost while reducing the uncertainty. To this end, a synthesis problem is defined where…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
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…
This paper presents an inverse optimality method to solve the Hamilton-Jacobi-Bellman equation for a class of nonlinear problems for which the cost is quadratic and the dynamics are affine in the input. The method is inverse optimal because…
In this paper we address the problem of information-constrained optimal control for an interconnected system subject to one-step communication delays and power constraints. The goal is to minimize a finite-horizon quadratic cost by…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
This paper studies finite-horizon robust tracking control for discrete-time linear systems, based on input-output data. We leverage behavioral theory to represent system trajectories through a set of noiseless historical data, instead of…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
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…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…