Related papers: Infinite Horizon Linear Quadratic Overtaking Optim…
In this paper, we solve the long-standing fundamental problem of irregular linear--quadratic (LQ) optimal control, which has received significant attention since the 1960s. We derive the optimal controllers via the key technique of finding…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
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 aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We clarify the conditions under which the…
This paper studies the finite-horizon linear quadratic regulation problem where the dynamics of the system are assumed to be unknown and the state is accessible. Information on the system is given by a finite set of input-state data, where…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
Linear-Quadratic optimal controls are computed for a class of boundary controlled, boundary observed hyperbolic infinite-dimensional systems, which may be viewed as networks of waves. The main results of this manuscript consist in…
We study the infinite horizon Linear-Quadratic problem and the associated algebraic Riccati equations for systems with unbounded control actions. The operator-theoretic context is motivated by composite systems of Partial Differential…
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…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
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…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
This paper investigates the necessary optimality conditions for uniformly overtaking optimal control on infinite horizon in the free end case. %with free right endpoint. In the papers of S.M.Aseev, A.V.Kryazhimskii, V.M.Veliov, K.O.Besov…
We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
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…