Related papers: Infinite Horizon Linear Quadratic Overtaking Optim…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
We establish the turnpike property for linear quadratic control problems for which the control operator is admissible and may be unbounded, under quite general and natural assumptions. The turnpike property has been well studied for bounded…
It is well known that highly volatile control laws, while theoretically optimal for certain systems, are undesirable from an engineering perspective, being generally deleterious to the controlled system. In this article we are concerned…
We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon…
The optimal adaptive control of a linear system in a signal-plus-noise setting with infinite horizon LQ regulator cost is studied. The class of partially observed linear systems for which the certainty equivalence property holds is…
Asymptotic stability in economic receding horizon control can be obtained under a strict dissipativity assumption, related to positive-definiteness of a so-called rotated cost, and through the use of suitable terminal cost and constraints.…
In this paper we summarize our results in infinite horizon optimal control. We present optimality conditions for weak local minimizer in the framework of weighted functions. Moreover we formulate the Pontryagin Maximum Principle for strong…
The goal of this paper is to assess the robustness of an uncertain linear time-varying (LTV) system on a finite time horizon. The uncertain system is modeled as a connection of a known LTV system and a perturbation. The input/output…
In this paper, we consider stochastic optimal control of Markov Jump Linear Systems with state feedback but without observation of the jumping parameter. The proposed control law is assumed to be linear with constant gains that can be…
We address the infinite-horizon minimum energy control problem for linear time-invariant finite-dimensional systems $(A, B)$. We show that the problem admits a solution if and only if $(A, B)$ is stabilizable and $A$ does not have imaginary…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
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…
This paper investigates the infinite horizon optimal control problem (OCP) for space applications characterized by nonlinear dynamics. The proposed approach divides the problem into a finite horizon OCP with a regularized terminal cost,…
In this paper, we study optimal control problems of semilinear elliptic and parabolic equations. A tracking cost functional, quadratic in the control and state variables, is considered. No control constraints are imposed. We prove that the…
We present a general approach to prove existence of solutions for optimal control problems not based on typical convexity conditions which quite often are very hard, if not impossible, to check. By taking advantage of several relaxations of…
The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…
A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE) which is a matrix-valued quadratic backward…
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…