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We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
We analyze strict dissipativity of generalized linear quadratic optimal control problems on Hilbert spaces. Here, the term ``generalized'' refers to cost functions containing both quadratic and linear terms. We characterize strict…
Different from most of the previous works, this paper provides a thorough solution to the fundamental problems of linear-quadratic (LQ) control and stabilization for discrete-time mean-field systems under basic assumptions. Firstly, the…
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…
This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…
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…
The Linear Quadratic Regulator (LQR), which is arguably the most classical problem in control theory, was recently related to kernel methods in (Aubin-Frankowski, SICON, 2021) for finite dimensional systems. We show that this result extends…
This paper analyzes the properties of the solutions of the generalized continuous algebraic Riccati equation from a geometric perspective. This analysis reveals the presence of a subspace that may provide an appropriate degree of freedom to…
We focus on elliptic quasi-variational inequalities (QVIs) of obstacle type and prove a number of results on the existence of solutions, directional differentiability and optimal control of such QVIs. We give three existence theorems based…
A study of the linear quadratic (LQ) control problem on a finite time interval for a model equation in Hilbert spaces which comprehends the memory of the inputs was performed recently by the authors. The outcome included a closed-loop…
We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…
We generalize the classical theory on algebraic Riccati equations and optimization to infinite-dimensional well-posed linear systems, thus completing the work of George Weiss, Olof Staffans and others. We show that the optimal control is…
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…
Following a recent paper by N. Mandache (Inverse Problems 17 (2001), pp. 1435-1444), we establish a general procedure for determining the instability character of inverse problems. We apply this procedure to many elliptic inverse problems…
We analyze a sequential quadratic programming algorithm for solving a class of abstract optimization problems. Assuming that the initial point is in an $L^2$ neighborhood of a local solution that satisfies no-gap second-order sufficient…
This article provides quasi-optimal a priori error estimates for an optimal control problem constrained by an elliptic obstacle problem where the finite element discretization is carried out using the symmetric interior penalty…
We consider an optimal control problem $\cQ$ governed by an elliptic quasivariational inequality with unilateral constraints. The existence of optimal pairs of the problem is a well known result, see \cite{SS}, for instance. We associate to…
With the outstanding performance of policy gradient (PG) method in the reinforcement learning field, the convergence theory of it has aroused more and more interest recently. Meanwhile, the significant importance and abundant theoretical…
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic…
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to the structure of risk-sensitive investment management…