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In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
This paper is concerned with linear stochastic Hamiltonian (LSH) systems subject to random external forces. Their dynamics are modelled by linear stochastic differential equations, parameterised by stiffness, mass, damping and coupling…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
Explicit solutions to optimal control problems are rarely obtainable. Of particular interest are the explicit solutions derived for minimax problems, providing a framework to address adversarial conditions and uncertainty. This work…
Asymptotic stability in receding horizon control is obtained under a strict pre-dissipativity assumption, in the presence of suitable state constraints. In this paper we analyze how terminal constraints can be replaced by suitable terminal…
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
In this paper, we consider the problem of distributed optimal control of linear dynamical systems with a quadratic cost criterion. We study the case of output feedback control for two interconnected dynamical systems, and show that the…
The paper establishes the exponential turnpike property for a class of mean-field stochastic linear-quadratic (LQ) optimal control problems with periodic coefficients. It first introduces the concepts of stability, stabilizability, and…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
The purpose of this paper is to close the remaining gaps in the understanding of the role that the constrained generalized continuous algebraic Riccati equation plays in singular linear-quadratic (LQ) optimal control. Indeed, in spite of…
The mean square stabilization problem for discrete-time networked control systems (NCSs) is investigated in this article. What the difference from most previous works is that input delay and packet losses occur simultaneously in the…
In this paper, we consider the social optimal problem of discrete time finite state space mean field games (referred to as finite mean field games [1]). Unlike the individual optimization of their own cost function in competitive models, in…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…