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We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
In this paper a novel stochastic optimization and extremum seeking algorithm is presented, one which is based on time-delayed random perturbations and step size adaptation. For the case of a one-dimensional quadratic unconstrained…
Max weighted queue (MWQ) control policy is a widely used cross-layer control policy that achieves queue stability and a reasonable delay performance. In most of the existing literature, it is assumed that optimal MWQ policy can be obtained…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
A decentralized linear quadratic system with a major agent and a collection of minor agents is considered. The major agent affects the minor agents, but not vice versa. The state of the major agent is observed by all agents. In addition,…
Stochastic dynamic teams and games are rich models for decentralized systems and challenging testing grounds for multi-agent learning. Previous work that guaranteed team optimality assumed stateless dynamics, or an explicit coordination…
Motivated by mean-field games (MFG) with common noise on the one hand and pathwise stochastic control theory on the other, we formulate here a linear-quadratic (LQ) MFG with rough common noise, along with a satisfactory well-posedness…
This paper studies infinite horizon linear quadratic (LQ) mean field problems with common noise and regime switching, covering both control and game formulations. To establish a theoretical foundation for the LQ framework, we first analyze…
Decentralized stochastic control (DSC) considers the optimal control problem of a multi-agent system. However, DSC cannot be solved except in the special cases because the estimation among the agents is generally intractable. In this work,…
In this paper, we study the infinite-time mean field games with discounting, establishing an equilibrium where individual optimal strategies collectively regenerate the mean-field distribution. To solve this problem, we partition all agents…
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…
Iterative linear-quadratic (ILQ) methods are widely used in the nonlinear optimal control community. Recent work has applied similar methodology in the setting of multiplayer general-sum differential games. Here, ILQ methods are capable of…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This work proposes a new procedure for the stabilization of time-delay systems using Static Output Feedback (SOF) control. A previous convex optimization approach to SOF for Ordinary Differential Equations (ODEs) is extended to time-delay…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
This work studies the mean-square stability and stabilization problem for networked feedback systems. Data transmission delays in the network channels of the systems are considered. It is assumed that these delays are i.i.d. processes with…
In this paper, the design of the optimal decentralized state-feedback controllers is considered for a wireless sensor and actuator network (WSAN) with stochastic network-induced delays and packet losses. In particular, taking advantage of…
This paper studies the linear-quadratic (LQ) optimal control problem of a class of systems governed by the first-order hyperbolic partial differential equations (PDEs) with final state constraints. The main contribution is to present the…
This paper studies an asymptotic solvability problem for linear quadratic (LQ) mean field games with controlled diffusions and indefinite weights for the state and control in the costs. We employ a rescaling approach to derive a low…