Related papers: Multiscale Linear-Quadratic Stochastic Optimal Con…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
This paper is concerned with the problems of optimal control and stabilization for networked control systems (NCSs), where the remote controller and the local controller operate the linear plant simultaneously. The main contributions are…
We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
Within the framework of the Accardi-Fagnola-Quaegebeur (AFQ) representation free calculus of \cite{b}, we consider the problem of controlling the size of a quantum stochastic flow generated by a unitary stochastic evolution affected by…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…
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…
Linear-Quadratic (LQ) problems that arise in systems and controls include the classical optimal control problems of the Linear Quadratic Regulator (LQR) in both its deterministic and stochastic forms, as well as $H^\infty$-analysis (the…
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…
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by `controlled' Markov noise. In particular, both the faster and slower recursions have non-additive controlled Markov noise…
In this article, we are interested in an initial value optimal control problem for a evolutionary $p$-Laplace equation driven by multiplicative L\'{e}vy noise. We first present wellposedness of a weak solution by using an implicit time…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
Contraction properties of the Riccati operator are studied within the context of non-stationary linear-quadratic optimal control. A lifting approach is used to obtain a bound on the rate of strict contraction, with respect to the Riemannian…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
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…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…