Related papers: General Indefinite Backward Stochastic Linear-Quad…
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…
This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem with deterministic coefficients. It is shown that convexity of the cost functional is necessary for the finiteness of the mean-field LQ…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
This paper investigates a mean-field linear-quadratic optimal control problem where the state dynamics and cost functional incorporate both expectation and conditional expectation terms. We explicitly derive the pre-committed, na\"{\i}ve,…
The purpose of this paper is to close the remaining gaps in the understanding of the role that the constrained generalized continuous algebraic Riccati equation plays in singular linear-quadratic (LQ) optimal control. Indeed, in spite of…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
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…
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…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
We study the linear-quadratic optimal control problem for infinite-dimensional dissipative systems with possibly indefinite cost functional. Under the assumption that a storage function exists, we show that this indefinite optimal control…
This paper addresses the problem of robust and optimal control for the class of nonlinear quadratic systems subject to norm-bounded parametric uncertainties and disturbances, and in presence of some amplitude constraints on the control…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
As it is popular known, Riccati equation is the key basic tool for optimal control in the modern control theory. The solvability conditions of optimal control, stabilization conditions and controller design are all based on the Riccati…
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…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
It is a longstanding unsolved problem to characterize the optimal feedbacks for general SLQs (i.e., stochastic linear quadratic control problems) with random coefficients in infinite dimensions; while the same problem but in finite…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…