Related papers: Optimal Control for Controllable Stochastic Linear…
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
This paper is concerned with the design of optimal control for finite-dimensional control-affine nonlinear dynamical systems. We introduce an optimal control problem that specifically optimizes nonlinear observability in addition to…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
This work addresses the exact characterization of the covariance dynamics related to linear discrete-time systems subject to both additive and parametric stochastic uncertainties that are potentially unbounded. Using this characterization,…
An optimal control problem for semilinear parabolic partial differential equations is considered. The control variable appears in the leading term of the equation. Necessary conditions for optimal controls are established by the method of…
A continuous optimal control problem governed by an elliptic variational inequality was considered in Boukrouche-Tarzia, Comput. Optim. Appl., 53 (2012), 375-392 where the control variable is the internal energy $g$. It was proved the…
In this paper, we solve the long-standing fundamental problem of irregular linear--quadratic (LQ) optimal control, which has received significant attention since the 1960s. We derive the optimal controllers via the key technique of finding…
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding stochastic Riccati equation, which is the same as that one in…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
In this paper, motivated by the study of optimal control problems for infinite dimensional systems with endpoint state constraints, we introduce the notion of finite codimensional (exact/approximate) controllability. Some equivalent…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
The main purpose of this paper is to discuss detailed the stochastic LQ control problem with random coefficients where the linear system is a multidimensional stochastic differential equation driven by a multidimensional Brownian motion and…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
This paper is concerned with uniform stabilization and social optimality for general mean field linear quadratic control systems, where subsystems are coupled via individual dynamics and costs, and the state weight is not assumed with the…