Related papers: Discounted Cost Linear Quadratic Gaussian Control …
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…
The purpose of this paper is to study the mixed linear quadratic Gaussian (LQG) and $H_\infty$ optimal control problem for linear quantum stochastic systems, where the controller itself is also a quantum system, often referred to as…
We consider a continuous-time linear-quadratic Gaussian control problem with partial observations and costly information acquisition. More precisely, we assume the drift of the state process to be governed by an unobservable…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear…
We study model-free learning methods for the output-feedback Linear Quadratic (LQ) control problem in finite-horizon subject to subspace constraints on the control policy. Subspace constraints naturally arise in the field of distributed…
A study of the linear quadratic (LQ) control problem on a finite time interval for a model equation in Hilbert spaces which comprehends the memory of the inputs was performed recently by the authors. The outcome included a closed-loop…
This paper presents a novel factor graph-based approach to solve the discrete-time finite-horizon Linear Quadratic Regulator problem subject to auxiliary linear equality constraints within and across time steps. We represent such optimal…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
This paper investigates a class of unified stochastic linear quadratic Gaussian (LQG) social optima problems involving a large number of weakly-coupled interactive agents under a {generalized} setting. For each individual agent, the control…
We propose a novel Galerkin discretization scheme for stochastic optimal control problems on an indefinite time horizon. The control problems are linear-quadratic in the controls, but possibly nonlinear in the state variables, and the…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
We investigate a Linear-Quadratic-Gaussian (LQG) control and sensing co-design problem, where one jointly designs sensing and control policies. We focus on the realistic case where the sensing design is selected among a finite set of…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
This paper revisits the classical Linear Quadratic Gaussian (LQG) control from a modern optimization perspective. We analyze two aspects of the optimization landscape of the LQG problem: 1) connectivity of the set of stabilizing controllers…
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…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
In this work we investigate explicit and implicit difference equations and the corresponding infinite time horizon linear-quadratic optimal control problem. We derive conditions for feasibility of the optimal control problem as well as…
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…