Related papers: A Generalization of the Riccati Recursion for Equa…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
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…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
This paper studies the linear quadratic regulation (LQR) problem of unknown discrete-time systems via dynamic output feedback learning control. In contrast to the state feedback, the optimality of the dynamic output feedback control for…
We consider the linear quadratic (LQ) optimal control problem for a class of evolution equations in infinite dimensions, in the presence of distributed and nonlocal inputs. Following the perspective taken in our previous research work on…
We investigate the discrete-time stochastic linear quadratic control problem for a population of cooperative agents under the hard equality constraint on total control inputs, motivated by demand response in renewable energy systems. We…
This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different.…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
An online policy learning problem of linear control systems is studied. In this problem, the control system is known and linear, and a sequence of quadratic cost functions is revealed to the controller in hindsight, and the controller…
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…
In this paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
We derive an explicit solution to the operator Riccati equation solving the Linear-Quadratic (LQ) optimal control problem for a class of boundary controlled hyperbolic partial differential equations (PDEs). Different descriptions of the…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…
The continuous-time analysis of existing iterative algorithms for optimization has a long history. This work proposes a novel continuous-time control-theoretic framework for equality-constrained optimization. The key idea is to design a…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…
In this paper, we study the irregular output feedback linear quadratic (LQ) control problem, which is a continuous work of previous works for irregular LQ control [33] where the state is assumed to be exactly known priori. Different from…
Current research suggests the use of a liner quadratic performance index for optimal control of regulators in various applications. Some examples include correcting the trajectory of rocket and air vehicles, vibration suppression of…
Differential algebraic Riccati equations are at the heart of many applications in control theory. They are time-depent, matrix-valued, and in particular nonlinear equations that require special methods for their solution. Low-rank methods…
The paper describes a continuous second-variation algorithm to solve optimal control problems where the control is defined on a closed set. A second order expansion of a Lagrangian provides linear updates of the control to construct a…