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This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a linear quadratic (LQ in short) problem…
For quantum systems with linear dynamics in phase space much of classical feedback control theory applies. However, there are some questions that are sensible only for the quantum case, such as: given a fixed interaction between the system…
An optimal control problem on finite-dimensional positive cones is stated. Under a critical assumption on the cone, the corresponding Bellman equation is satisfied by a linear function, which can be computed by convex optimization. A…
The following optimization problem is considered. For a linear vector Ito equation. it is required to find an optimal deterministic control vector which minimizes a quadratic the functional. A necessary and sufficient condition for 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 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 provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes that…
The purpose of this paper is to present a theoretic and numerical study of utilizing squeezing and phase shift in coherent feedback control of linear quantum optical systems. A quadrature representation with built-in phase shifters is…
This paper addresses the inverse optimal control for the linear quadratic tracking problem with a fixed but unknown target state, which aims to estimate the possible triplets comprising the target state, the state weight matrix, and the…
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…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
In this paper, we consider the optimal control problem for a class of evolution inclusions with Volterra type operators, which can be history-dependent. We establish the existence of a solution to the stated optimal control problem under…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
We consider the variational discretization of a linear-quadratic optimal control problem with pointwise control and state constraints. In order to allow for a Fr\'echet smooth norm, the problem is reformulated by means of a reflexive…
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…
We introduce an alternative approach for the analysis and numerical approximation of the optimal feedback control mapping. It consists in looking at a typical optimal control problem in such a way that feasible controls are mappings…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…