Related papers: Multiscale Linear-Quadratic Stochastic Optimal Con…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
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.…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the problem can be leveraged to reformulate the associated…
This work contributes to the field of optimal control of bilinear systems. It concerns a continuous time, finite dimensional, bilinear state equation with a quadratic performance index to be minimized. The state equation is non-autonomous…
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 characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
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…
This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…
We study an optimal distributed control problem associated to a stochastic Cahn-Hilliard equation with a classical double-well potential and Wiener multiplicative noise, where the control is represented by a source-term in the definition of…
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…
We are interested in the optimal control problem associated with certain quadratic cost functionals depending on the solution $X=X^\alpha$ of the stochastic mean-field type evolution equation in $\mathbb R^d$ $dX_t=b(t,X_t,\mathcal…
In this paper, the open-loop, closed-loop, and weak closed-loop solvability for discrete-time linear-quadratic (LQ) control problem is considered due to the fact that it is always open-loop optimal solvable if the LQ control problem is…
High-quality control is a fundamental requirement for quantum computation, but practically it is often hampered by the presence of various types of noises, which can be static or time-dependent. In many realistic scenarios, multiple noise…