Related papers: Stochastic Linear-Quadratic Optimal Control with P…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
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.…
This work addresses the problem of risk-sensitive control for nonlinear systems with imperfect state observations, extending results for the linear case. In particular, we derive an algorithm that can compute local solutions with…
In this paper, the problem of finite horizon inverse optimal control (IOC) is investigated, where the quadratic cost function of a dynamic process is required to be recovered based on the observation of optimal control sequences. We propose…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward stochastic differential equation with correlated noises…
In this paper, we investigate optimal control problems subject to a semilinear elliptic partial differential equations. The cost functional contains a term that measures the size of the support of the control, which is the so-called…
The linear-quadratic-Gaussian (LQG) control paradigm is well-known in literature. The strategy of minimizing the cost function is available, both for the case where the state is known and where it is estimated through an observer. The…
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
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…
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…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…