Related papers: Solving A Class of Mean-Field LQG Problems
We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
This work deals with a numerical method for solving a mean-field type control problem with congestion. It is the continuation of an article by the same authors, in which suitably defined weak solutions of the system of partial differential…
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 investigates the so-called asymptotic solvability problem in linear quadratic (LQ) mean field games. The model has asymptotic solvability if for all sufficiently large population sizes, the corresponding game has a set of…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
The Linear Quadratic Gaussian (LQG) problem is a classic and widely studied model in optimal control, providing a fundamental framework for designing controllers for linear systems subject to process and observation noises. In recent years,…
We address the optimal control problems arising from partial differential equations with large discrete dimensional control systems. To obtain reduced order models, we find basis elements from the canonical polyadic (CP) decomposition.…
A method is presented for parallelizing the computation of solutions to discrete-time, linear-quadratic, finite-horizon optimal control problems, which we will refer to as LQR problems. This class of problem arises frequently in robotic…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
In this paper, we will deal with a Linear Quadratic Optimal Control problem with unknown dynamics. As a modeling assumption, we will suppose that the knowledge that an agent has on the current system is represented by a probability…
In this paper, we study the $extended$ mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions depend upon the joint (conditional) distribution of the…
In this paper we consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a…
The synthesis of control laws for interacting agent-based dynamics and their mean-field limit is studied. A linearization-based approach is used for the computation of sub-optimal feedback laws obtained from the solution of differential…
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system. Zakai equation…
The control algebraic Riccati equation is studied for a class of systems with unbounded control and observation operators. Using a dichotomy property of the associated Hamiltonian operator matrix, two invariant graph subspaces are…
Solving large-scale continuous-time algebraic Riccati equations is a significant challenge in various control theory applications. This work demonstrates that when the matrix coefficients of the equation are quasiseparable, the solution…
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…
This paper revisits well-studied dynamic decisions of weakly coupled large-population (LP) systems. Specifically, three types of LP decision problems: mean-field game (MG), mean-field team (MT), and mean-field-type control (MC), are…
We consider a discrete-time Linear-Quadratic-Gaussian (LQG) control problem in which Massey's directed information from the observed output of the plant to the control input is minimized while required control performance is attainable.…
In this paper we study the linear quadratic regulation (LQR) problem for dynamical systems coupled over large-scale networks and obtain locally computable low-complexity solutions. The underlying large or even infinite networks are…