English
Related papers

Related papers: Risk-Constrained Control of Mean-Field Linear Quad…

200 papers

We propose a new risk-constrained reformulation of the standard Linear Quadratic Regulator (LQR) problem. Our framework is motivated by the fact that the classical (risk-neutral) LQR controller, although optimal in expectation, might be…

Systems and Control · Electrical Eng. & Systems 2020-10-30 Anastasios Tsiamis , Dionysios S. Kalogerias , Luiz F. O. Chamon , Alejandro Ribeiro , George J. Pappas

The behaviour of a stochastic dynamical system may be largely influenced by those low-probability, yet extreme events. To address such occurrences, this paper proposes an infinite-horizon risk-constrained Linear Quadratic Regulator (LQR)…

Optimization and Control · Mathematics 2021-03-30 Feiran Zhao , Keyou You , Tamer Basar

We propose a new risk-constrained formulation of the classical Linear Quadratic (LQ) stochastic control problem for general partially-observed systems. Our framework is motivated by the fact that the risk-neutral LQ controllers, although…

Optimization and Control · Mathematics 2021-12-15 Anastasios Tsiamis , Dionysios S. Kalogerias , Alejandro Ribeiro , George J. Pappas

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…

Optimization and Control · Mathematics 2023-07-19 Jia Hui , Yuan-Hua Ni

A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…

Optimization and Control · Mathematics 2012-08-28 Jianhui Huang , Xun Li , Jiongmin Yong

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…

Optimization and Control · Mathematics 2016-07-25 Robert. J Elliott , Xun Li , Yuan-Hua Ni

In this paper, we investigate the infinite-horizon risk-constrained linear quadratic regulator problem (RC-QR), which augments the classical LQR formulation with a statistical constraint on the variability of the system state to incorporate…

Optimization and Control · Mathematics 2025-10-28 Weijian Li , Andreas A. Malikopoulos

We formulate and solve an optimal control problem with cooperative, mean-field coupled linear-quadratic subsystems and additional risk-aware costs depending on the covariance and skew of the disturbance. This problem quantifies the…

Systems and Control · Electrical Eng. & Systems 2024-06-11 Dhairya Patel , Margaret Chapman

We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…

Optimization and Control · Mathematics 2025-12-30 Anna de Crescenzo , Filippo de Feo , Huyên Pham

This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…

Optimization and Control · Mathematics 2019-06-11 Xiuchun Bi , Jingrui Sun , Jie Xiong

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…

Probability · Mathematics 2017-11-28 Matteo Basei , Huyên Pham

In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly…

Optimization and Control · Mathematics 2014-12-02 Djehiche Boualem , Tembine Hamidou

This paper is concerned with a linear quadratic (LQ, for short) optimal control problem with fixed terminal states and integral quadratic constraints. A Riccati equation with infinite terminal value is introduced, which is uniquely solvable…

Optimization and Control · Mathematics 2017-05-11 Jingrui Sun

Linear Quadratic Regulator (LQR) design is one of the most classical optimal control problems, whose well-known solution is an input sequence expressed as a state-feedback. In this work, finite-horizon and discrete-time LQR is solved under…

Optimization and Control · Mathematics 2020-01-17 Anna Scampicchio , Aleksandr Aravkin , Gianluigi Pillonetto

We propose a methodology for performing risk-averse quadratic regulation of partially observed Linear Time-Invariant (LTI) systems disturbed by process and output noise. To compensate against the induced variability due to both types of…

Optimization and Control · Mathematics 2022-04-20 Nikolas Koumpis , Anastasios Tsiamis , Dionysios Kalogerias

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…

Portfolio Management · Quantitative Finance 2018-06-12 Weiping Wu , Jianjun Gao , Junguo Lu , Xun Li

In this paper, we first prove that the mean-field stochastic linear quadratic (MFSLQ for short) control problem with random coefficients has a unique optimal control and derive a preliminary stochastic maximum principle to characterize this…

Optimization and Control · Mathematics 2025-05-28 Jie Xiong , Wen Xu

This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift which is common for all agents. A robust optimization approach…

Optimization and Control · Mathematics 2019-08-06 Bing-Chang Wang , Jianhui Huang , Ji-Feng Zhang

This paper is concerned with uniform stabilization and social optimality for general mean field linear quadratic control systems, where subsystems are coupled via individual dynamics and costs, and the state weight is not assumed with the…

Optimization and Control · Mathematics 2020-03-02 Bing-Chang Wang , Huanshui Zhang , Ji-Feng Zhang

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…

Optimization and Control · Mathematics 2025-10-21 Wenjing Yang , Zhaorong Zhang , Juanjuan Xu
‹ Prev 1 2 3 10 Next ›