Related papers: Stochastic linear-quadratic optimal control proble…
This paper is concerned with zero-sum stochastic linear-quadratic differential games in a regime switching model. The coefficients of the games depend on the underlying noises, so it is a non-Markovian regime switching model. Based on the…
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…
This paper develops a novel approach to the consensus problem of multi-agent systems by minimizing a weighted state error with neighbor agents via linear quadratic (LQ) optimal control theory. Existing consensus control algorithms only…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
A method is presented for solving the discrete-time finite-horizon Linear Quadratic Regulator (LQR) problem subject to auxiliary linear equality constraints, such as fixed end-point constraints. The method explicitly determines an affine…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…
Formation control problems can be expressed as linear quadratic discrete-time games (LQDTG) for which Nash equilibrium solutions are sought. However, solving such problems requires solving coupled Riccati equations, which cannot be done in…
In this paper, we construct a periodic dichotomy transformation using solutions of periodic Riccati and Lyapunov equations. As an application of this transformation, we provide an explicit representation of the optimal extremal for periodic…
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…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = $\alpha$ t--d (bdt + $\sigma$dW t). We provide a new characterization of the solution in terms of a set of Riccati…
This paper investigates a class of unified stochastic linear quadratic Gaussian (LQG) social optima problems involving a large number of weakly-coupled interactive agents under a {generalized} setting. For each individual agent, the control…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…