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This article introduces a numerical algorithm that serves as a preliminary step toward solving continuous-time model predictive control (MPC) problems directly without explicit time-discretization. The chief ingredients of the underlying…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
This paper considers the optimal control for hybrid systems whose trajectories transition between distinct subsystems when state-dependent constraints are satisfied. Though this class of systems is useful while modeling a variety of…
This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different.…
Recently, there has been a surge of research on a class of methods called feedback optimization. These are methods to steer the state of a control system to an equilibrium that arises as the solution of an optimization problem. Despite the…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
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…
This work addresses the ecological-adaptive cruise control problem for connected electric vehicles by a computationally efficient robust control strategy. The problem is formulated in the space-domain with a realistic description of the…
Optimization with orthogonality constraints frequently arises in various fields such as machine learning. Riemannian optimization offers a powerful framework for solving these problems by equipping the constraint set with a Riemannian…
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…
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 optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the large time horizons. We establish the so-called turnpike…
This study focuses on using direct methods (first-discretize-then-optimize) to solve optimal control problems for a class of nonsmooth dynamical systems governed by differential variational inequalities (DVI), called optimal control…
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 is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
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…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…