Related papers: Discounted Cost Linear Quadratic Gaussian Control …
In this paper we consider the problem of minimizing a quadratic functional for a discrete-time linear stochastic system with multiplicative noise, on a standard probability space, in infinite time horizon. We show that the necessary and…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
Linear time-invariant control systems can be considered as finitely generated modules over the commutative principal ideal ring $\mathbb{R}[\frac{d}{dt}]$ of linear differential operators with respect to the time derivative. The Kalman…
We study the dissipativity of linear infinite-dimensional systems with respect to a prescribed quadratic supply rate functional. We characterize this property via an operator inequality that also yields the system's dissipation rate. We…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…
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…
An optimal control law for networked control systems with a discrete-time linear time-invariant (LTI) system as plant and networks between sensor and controller as well as between controller and actuator is proposed. This controller is…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
We explore reinforcement learning methods for finding the optimal policy in the linear quadratic regulator (LQR) problem. In particular, we consider the convergence of policy gradient methods in the setting of known and unknown parameters.…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
A decentralized control system with linear dynamics, quadratic cost, and Gaussian disturbances is considered. The system consists of a finite number of subsystems whose dynamics and per-step cost function are coupled through their…
The paper deals with a stochastic Galerkin approximation of elliptic Dirichlet boundary control problems with random input data. The expectation of a tracking cost functional with the deterministic constrained control is minimized. Error…
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…
We prove that output-feedback linear policies remain optimal for solving the Linear Quadratic Gaussian regulation problem in the face of worst-case process and measurement noise distributions when these are independent, stationary, and…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…