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We present high order explicit geometric integrators to solve linear-quadratic optimal control problems and $N$-player differential games. These problems are described by a system coupled non-linear differential equations with boundary…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…
We study second-order hyperbolic equations with degenerate elliptic operators and non-homogeneous Dirichlet boundary inputs. We establish existence and regularity of weak solutions in weighted Sobolev spaces under mild assumptions on the…
A numerical algorithm to obtain the consistent conditions satisfied by singular arcs for singular linear-quadratic optimal control problems is presented. The algorithm is based on the presymplectic constraint algorithm (PCA) by Gotay-Nester…
This paper is concerned with an evolution problem having an elliptic equation involving the 1-Laplacian operator and a dynamical boundary condition. We apply nonlinear semigroup theory to obtain existence and uniqueness results as well as a…
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…
A method is presented for solving the discrete-time finite-horizon Linear Quadratic Regulator (LQR) problem subject to auxiliary linear equality constraints, such as fixed end-point constraints. The method explicitly determines an affine…
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…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
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…
In this paper we develop a Gidas-Ni-Nirenberg technique for polyharmonic equations and systems of Lane-Emden type. As far as we are concerned with Dirichlet boundary conditions, we prove uniqueness of solutions up to eighth order equations,…
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
This paper proposes a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the generalised discrete algebraic Riccati equation. In…
The present paper develops an optimal linear quadratic boundary controller for $2\times2$ linear hyperbolic partial differential equations (PDEs) with actuation on only one end of the domain. First-order necessary conditions for optimality…
In this study, we provide an interpretation of the dual differential Riccati equation of Linear-Quadratic (LQ) optimal control problems. Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over…
In this work, a mixed problem for a time-fractional equation with a delayed argument and pseudodifferential operators related to Laplace operators with non-local boundary conditions in Sobolev classes is studied. The solutions to the…
We study the solvability of boundary-value problems for differential-operator equations of the second order in L p (0, 1; X), with 1 < p < +$\infty$, X being a UMD complex Banach space. The originality of this work lies in the fact that we…
In this paper, our goal is to study fundamental foundations of linear quadratic Gaussian (LQG) control problems for stochastic linear time-invariant systems via Lagrangian duality of semidefinite programming (SDP) problems. In particular,…
In this paper, we construct a periodic dichotomy transformation using solutions of periodic Riccati and Lyapunov equations. As an application of this transformation, we provide an explicit representation of the optimal extremal for periodic…