Related papers: Optimal Control for Discrete-time NCSs with Input …
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
This paper investigates an infinite horizon discounted linear-quadratic (LQ) optimal control problem for stochastic differential equations (SDEs) incorporating regime switching and mean-field interactions. The regime switching is modeled by…
This paper proposes a novel lifting method which converts the standard discrete-time linear periodic system to an augmented linear time-invariant system. The linear quadratic optimal control is then based on the solution of the…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
Different from most of the previous works, this paper provides a thorough solution to the fundamental problems of linear-quadratic (LQ) control and stabilization for discrete-time mean-field systems under basic assumptions. Firstly, the…
This paper explores the decentralized control of linear deterministic systems in which different controllers operate based on distinct state information, and extends the findings to the output feedback scenario. Assuming the controllers…
A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
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 is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…
In software-defined networking (SDN) systems, it is a common practice to adopt a multi-controller design and control devolution techniques to improve the performance of the control plane. However, in such systems, the decision-making for…
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…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
We present structure preserving integrators for solving linear quadratic optimal control problems. This problem requires the numerical integration of matrix Riccati differential equations whose exact solution is a symmetric positive…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding stochastic Riccati equation, which is the same as that one in…
Time delays are ubiquitous in industry, and they must be accounted for when designing control strategies. However, numerical optimal control (NOC) of delay differential equations (DDEs) is challenging because it requires specialized…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
This paper presents a state and state-input constrained variant of the discrete-time iterative Linear Quadratic Regulator (iLQR) algorithm, with linear time-complexity in the number of time steps. The approach is based on a projection of…