Related papers: Mean Square Optimal Control by Interconnection for…
This work is concerned with the finite-horizon optimal covariance steering of networked systems governed by discrete-time stochastic linear dynamics. In contrast with existing work that has only considered systems with dynamically decoupled…
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion, where Teugel's martingales are a family of pairwise…
This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
This paper is concerned with linear stochastic control systems in state space. The integral of the squared norm of the system output over a bounded time interval is interpreted as energy. The cumulants of the output energy in the…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
We investigate the linear quadratic stochastic optimal control problems in infinite dimension without Markovian restriction for coefficients. The necessary and sufficient conditions for open-loop optimal controls are presented. We prove the…
We consider optimal distributed controller synthesis for an interconnected system subject to communication constraints, in linear quadratic settings. Motivated by the problem of finite heavy duty vehicle platooning, we study systems…
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
In this paper, we design a controller for an interconnected system composed of a linear Stochastic Differential Equation (SDE) controlled through a linear hetero-directional hyperbolic Partial Differential Equation (PDE). Our objective is…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
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…
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…
In this paper, the feedback stabilization of a linear time-invariant (LTI) multiple-input multiple-output (MIMO) system cascaded by a linear stochastic system is studied in the mean-square sense. Here, the linear stochastic system can model…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
We formulate and solve an optimal control problem with cooperative, mean-field coupled linear-quadratic subsystems and additional risk-aware costs depending on the covariance and skew of the disturbance. This problem quantifies the…
We consider the optimal control design problem for discrete-time LTI systems with state feedback, when the actuation signal is subject to unmeasurable switching propagation delays, due to e.g. the routing in a multi-hop communication…
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…
Stochastic control deals with finding an optimal control signal for a dynamical system in a setting with uncertainty, playing a key role in numerous applications. The linear quadratic Gaussian (LQG) is a widely-used setting, where the…