Related papers: Risk-Constrained Control of Mean-Field Linear Quad…
In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…
In this paper, we consider the adaptive linear quadratic Gaussian control problem, where both the linear transformation matrix of the state $A$ and the control gain matrix $B$ are unknown. The proposed adaptive optimal control only assumes…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
This article treats two problems dealing with control of linear systems in the presence of a jammer that can sporadically turn off the control signal. The first problem treats the standard reachability problem, and the second treats the…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
This work addresses the problem of risk-sensitive control for nonlinear systems with imperfect state observations, extending results for the linear case. In particular, we derive an algorithm that can compute local solutions with…
We consider team optimal control of decentralized systems with linear dynamics, quadratic costs, and arbitrary disturbance that consist of multiple sub-populations with exchangeable agents (i.e., exchanging two agents within the same…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
We develop a robust linear-quadratic mean-field control framework for systemic risk under model uncertainty, in which a central bank jointly optimizes interest rate policy and supervisory monitoring intensity against adversarial…
This work addresses the finite-horizon robust covariance control problem for discrete-time, partially observable, linear system affected by random zero mean noise and deterministic but unknown disturbances restricted to lie in what is…
We study, to our knowledge, the first tractable multistage ex-ante distributionally robust regret optimization (DRRO) formulation for stochastic control. We consider finite-horizon LQR under common stage-law ambiguity: disturbances are…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
In this work, we revisit the Linear Quadratic Gaussian (LQG) optimal control problem from a behavioral perspective. Motivated by the suitability of behavioral models for data-driven control, we begin with a reformulation of the LQG problem…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…
The paper establishes the exponential turnpike property for a class of mean-field stochastic linear-quadratic (LQ) optimal control problems with periodic coefficients. It first introduces the concepts of stability, stabilizability, and…
We present an efficient algorithm to compute the explicit open-loop solution to both finite and infinite-horizon dynamic games subject to state and input constraints. Our approach relies on a multiparametric affine variational inequality…
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
In this paper, we will deal with a Linear Quadratic Optimal Control problem with unknown dynamics. As a modeling assumption, we will suppose that the knowledge that an agent has on the current system is represented by a probability…
This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…