Related papers: Multiscale Linear-Quadratic Stochastic Optimal Con…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
The classical state-space approach to optimal estimation of stochastic processes is efficient when the driving noises are generated by martingales. In particular, the weight function of the optimal linear filter, which solves a complicated…
We provide a technique to obtain provably optimal control sequences for quantum systems under the influence of time-correlated multiplicative control noise. Utilizing the circuit-level noise model introduced in [Phys. Rev. Research 3,…
It is a longstanding unsolved problem to characterize the optimal feedbacks for general SLQs (i.e., stochastic linear quadratic control problems) with random coefficients in infinite dimensions; while the same problem but in finite…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
As it is popular known, Riccati equation is the key basic tool for optimal control in the modern control theory. The solvability conditions of optimal control, stabilization conditions and controller design are all based on the Riccati…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
In this paper, we consider the problem of distributed optimal control of linear dynamical systems with a quadratic cost criterion. We study the case of output feedback control for two interconnected dynamical systems, and show that the…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
This paper investigates a model-free solution to the stochastic linear quadratic regulation (LQR) problem for linear discrete-time systems with both multiplicative and additive noises. We formulate the stochastic LQR problem as a nonconvex…
This paper studies linear quadratic Gaussian robust mean field social control problems in the presence of multiplicative noise. We aim to compute asymptotic decentralized strategies without requiring full prior knowledge of agents'…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
We study weighted Tikhonov regularization for large-scale linear discrete ill-posed problems with random noise. Under a polynomial upper-bound assumption on the generalized eigenvalues of the discrete forward operator, we derive stochastic…
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…