Related papers: Kullback-Leibler-Quadratic Optimal Control
In [1], the distributed linear-quadratic problem with fixed communication topology (DFT-LQ) and the sparse feedback LQ problem (SF-LQ) are formulated into a nonsmooth and nonconvex optimization problem with affine constraints. Moreover, a…
This paper develops a unified nonconvex optimization framework for the design of group-sparse feedback controllers in infinite-horizon linear-quadratic (LQ) problems. We address two prominent extensions of the classical LQ problem: the…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
Sampling-based model predictive control (MPC) has the potential for use in a wide variety of robotic systems. However, its unstable updates and poor convergence render it unsuitable for real-time control of robotic systems. This study…
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…
In this paper, network of agents with identical dynamics is considered. The agents are assumed to be fed by self and neighboring output measurements, while the states are not available for measuring. Viewing distributed estimation as dual…
An optimal feedback controller for a given Markov decision process (MDP) can in principle be synthesized by value or policy iteration. However, if the system dynamics and the reward function are unknown, a learning agent must discover an…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
This paper is concerned with mean-field stochastic linear-quadratic (MF-SLQ, for short) optimal control problems with deterministic coefficients. The notion of weak closed-loop optimal strategy is introduced. It is shown that the open-loop…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
The problem of robust distributed control arises in several large-scale systems, such as transportation networks and power grid systems. In many practical scenarios controllers might not have enough information to make globally optimal…
This paper develops a novel approach to the consensus problem of multi-agent systems by minimizing a weighted state error with neighbor agents via linear quadratic (LQ) optimal control theory. Existing consensus control algorithms only…
Distributed control problems under some specific information constraints can be formulated as (possibly infinite dimensional) convex optimization problems. The underlying motivation of this work is to develop an understanding of the optimal…
This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift which is common for all agents. A robust optimization approach…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
The distributed optimal synchronization problem with linear quadratic cost is solved in this paper for multi-agent systems with an undirected communication topology. For the first time, the optimal synchronization problem is formulated as a…
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…
This article presents a unified approach to quadratic optimal control for both linear and nonlinear discrete-time systems, with a focus on trajectory tracking. The control strategy is based on minimizing a quadratic cost function that…
We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework. By including a price mean-reversion signal into the optimization program, in a trading environment where market impact is linear and stage costs are…