Related papers: Stochastic Linear-Quadratic Optimal Control with P…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
Inverse optimal control can be used to characterize behavior in sequential decision-making tasks. Most existing work, however, is limited to fully observable or linear systems, or requires the action signals to be known. Here, we introduce…
We consider a linear-quadratic elliptic optimal control problem with point evaluations of the state variable in the cost functional. The state variable is discretized by conforming linear finite elements. For control discretization, three…
We propose a methodology for performing risk-averse quadratic regulation of partially observed Linear Time-Invariant (LTI) systems disturbed by process and output noise. To compensate against the induced variability due to both types of…
In this paper, a finite-horizon optimal control problem involving a dynamical system described by a linear Caputo fractional differential equation and a quadratic cost functional is considered. An explicit formula for the value functional…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
We consider an optimal control problem governed by an elliptic variational inequality of the second kind. The problem is discretized by linear finite elements for the state and a variational discrete approach for the control. Based on a…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
Distributed optimal control is known to be challenging and can become intractable even for linear-quadratic regulator problems. In this work, we study a special class of such problems where distributed state feedback controllers can give…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of certain signed matrix measures which are not necessarily…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
The problem of robust distributed control arises in several large-scale systems, such as transportation networks and power grid systems. In many practical scenarios controllers might not have enough information to make globally optimal…
We design and analyze solution techniques for a linear-quadratic optimal control problem involving the integral fractional Laplacian. We derive existence and uniqueness results, first order optimality conditions, and regularity estimates…
We study linear-quadratic optimal control problems for Voterra systems, and problems that are linear-quadratic in the control but generally nonlinear in the state. In the case of linear-quadratic Volterra control, we obtain sharp necessary…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem with fixed terminal states and integral quadratic constraints. A Riccati equation with infinite terminal value is introduced, which is uniquely solvable…
This article examines a linear-quadratic elliptic optimal control problem in which the cost functional and the state equation involve a highly oscillatory periodic coefficient $A^\varepsilon$. The small parameter $\varepsilon>0$ denotes the…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
Understanding the optimization landscape of linear quadratic regulation (LQR) problems is fundamental to the design of efficient reinforcement learning solutions. Recent work has made significant progress in characterizing the landscape of…