Related papers: Optimal Feedback Controls of Stochastic Linear Qua…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an…
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop optimal control exists, which can be characterized by the…
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of…
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 deals with some reachability issues for piecewise linear switched systems with time-dependent coefficients and multiplicative noise. Namely, it aims at characterizing data that are almost reachable at some fixed time T > 0…
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…
Infinite-dimensional linear conic formulations are described for nonlinear optimal control problems. The primal linear problem consists of finding occupation measures supported on optimal relaxed controlled trajectories, whereas the dual…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
We investigate the linear quadratic stochastic optimal control problems in infinite dimension without Markovian restriction for coefficients. The necessary and sufficient conditions for open-loop optimal controls are presented. We prove the…
Finite-time linear-quadratic control of partial differential-algebraic equations (PDAEs) is considered. The discussion is restricted to those that are radial with index $0$; this corresponds to a nilpotency degree of 1. We establish the…
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…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
Problem of damping of an arbitrary number of linear oscillators under common bounded control is considered. We are looking for a feedback control steering the system to the equilibrium. The obtained control is asymptotically optimal: the…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
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 considers a risk-sensitive optimal control problem for a field-mediated interconnection of a quantum plant with a coherent (measurement-free) quantum controller. The plant and the controller are multimode open quantum harmonic…