Related papers: Discounted Cost Linear Quadratic Gaussian Control …
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…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
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…
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
In this paper, we consider an infinite horizon Linear-Quadratic-Gaussian control problem with controlled and costly measurements. A control strategy and a measurement strategy are co-designed to optimize the trade-off among control…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
We study the problem of state representation learning for control from partial and potentially high-dimensional observations. We approach this problem via cost-driven state representation learning, in which we learn a dynamical model in a…
This paper addresses the problem of robust and optimal control for the class of nonlinear quadratic systems subject to norm-bounded parametric uncertainties and disturbances, and in presence of some amplitude constraints on the control…
The linear quadratic Gaussian (LQG) control problem for the linear wave equation on the unit circle with fully distributed actuation and partial state measurements is considered. An analytical solution to a spatial discretization of the…
We study the discrete-time linear-quadratic (LQ) control model using reinforcement learning (RL). Using entropy to measure the cost of exploration, we prove that the optimal feedback policy for the problem must be Gaussian type. Then, we…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
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…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
Linear-Quadratic (LQ) problems that arise in systems and controls include the classical optimal control problems of the Linear Quadratic Regulator (LQR) in both its deterministic and stochastic forms, as well as $H^\infty$-analysis (the…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
The Linear Quadratic Gaussian (LQG) controller is known to be inherently fragile to model misspecifications common in real-world situations. We consider discrete-time partially observable stochastic linear systems and provide a…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…