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A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
This paper concerns the problem of learning control policies for an unknown linear dynamical system to minimize a quadratic cost function. We present a method, based on convex optimization, that accomplishes this task robustly: i.e., we…
We establish a collection of closed-loop guarantees and propose a scalable optimization algorithm for distributionally robust model predictive control (DRMPC) applied to linear systems, convex constraints, and quadratic costs. Via standard…
In this paper we study an optimal control problem associated to a linear degenerate elliptic equation with mixed boundary conditions. The equations of this type can exhibit the Lavrentieff phenomenon and non-uniqueness of weak solutions. We…
This note concerns a class of matrix Riccati equations associated with stochastic linear-quadratic optimal control problems with indefinite state and control weighting costs. A novel sufficient condition of solvability of such equations is…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…
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…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
The quadratic optimal state feedback (LQR) is one of the most popular designs for linear systems and succeeds via the solution of the algebraic Riccati equation. The situation is different in the case of non-linear systems: the Riccati…
In this paper, an extension of a linear control design for hyperbolic linear partial differential equations is presented for a first-order traffic flow model. Starting from the Lighthill-Whitham-Richards (LWR) model, variable speed limit…
The challenge of constructing feedback control laws for risk-averse optimal control of partial differential equations (PDEs) with random coefficients is addressed. The control objective composes a tracking-type cost with the nonlinear…
We study the Linear-Quadratic optimal control problem for a general class of infinite-dimensional passive systems, allowing for unbounded input and output operators. We show that under mild assumptions, the finite cost condition is always…
This paper studies the linear-quadratic (LQ) optimal control problem of a class of systems governed by the first-order hyperbolic partial differential equations (PDEs) with final state constraints. The main contribution is to present the…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
In this paper, we consider a linear quadratic stochastic two-person zero-sum differential game. The controls for both players are allowed to appear in both drift and diffusion of the state equation. The weighting matrices in the performance…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…