Related papers: Time-inconsistent Linear Quadratic Optimal Control…
This article presents a unified approach to quadratic optimal control for both linear and nonlinear discrete-time systems, with a focus on trajectory tracking. The control strategy is based on minimizing a quadratic cost function that…
A linear quadratic (LQ) stochastic optimization system involving large population, which is driven by forward-backward stochastic differential equation (FBSDE), is investigated in this paper. Agents cooperate with each other to minimize the…
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic…
This paper studies a time optimal control problem with control constraints of the rectangular type for the linear multi-input time-varying ordinary differential equations. The aims of this study are to establish certain necessary and…
In this work we investigate explicit and implicit difference equations and the corresponding infinite time horizon linear-quadratic optimal control problem. We derive conditions for feasibility of the optimal control problem as well as…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms 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…
This paper derives recursion equations for a robust smoothing problem for a class of nonlinear systems with uncertainties in modeling and exogenous noise sources. The systems considered operate in discrete-time and the uncertainties are…
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynamics may depend on both the state and control. Based on…
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…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
In this study, we provide an interpretation of the dual differential Riccati equation of Linear-Quadratic (LQ) optimal control problems. Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over…
Achieving optimal steady-state performance in real-time is an increasingly necessary requirement of many critical infrastructure systems. In pursuit of this goal, this paper builds a systematic design framework of feedback controllers for…
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
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…
In this paper, we propose a new Robust Nonlinear Quadratic Gaussian (RNQG) controller based on State-Dependent Riccati Equation (SDRE) scheme for continuous-time nonlinear systems. Existing controllers do not account for combined noise and…
A novel approach to efficiently treat pure-state equality constraints in optimal control problems (OCPs) using a Riccati recursion algorithm is proposed. The proposed method transforms a pure-state equality constraint into a mixed…