Related papers: Distributed Solving of Linear Quadratic Optimal Co…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
In this paper, we consider the problem of distributed optimal control of linear dynamical systems with a quadratic cost criterion. We study the case of output feedback control for two interconnected dynamical systems, and show that the…
As it is popular known, Riccati equation is the key basic tool for optimal control in the modern control theory. The solvability conditions of optimal control, stabilization conditions and controller design are all based on the Riccati…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
An optimal control law for networked control systems with a discrete-time linear time-invariant (LTI) system as plant and networks between sensor and controller as well as between controller and actuator is proposed. This controller is…
The purpose of this paper is to close the remaining gaps in the understanding of the role that the constrained generalized continuous algebraic Riccati equation plays in singular linear-quadratic (LQ) optimal control. Indeed, in spite of…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
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…
Distributed control problems under some specific information constraints can be formulated as (possibly infinite dimensional) convex optimization problems. The underlying motivation of this work is to develop an understanding of the optimal…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
In this paper, the open-loop, closed-loop, and weak closed-loop solvability for discrete-time linear-quadratic (LQ) control problem is considered due to the fact that it is always open-loop optimal solvable if the LQ control problem is…
The problem of robust distributed control arises in several large-scale systems, such as transportation networks and power grid systems. In many practical scenarios controllers might not have enough information to make globally optimal…
The focus of this paper is directed towards optimal control of multi-agent systems consisting of one leader and a number of followers in the presence of noise. The dynamics of every agent is assumed to be linear, and the performance index…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
This paper presents a state and state-input constrained variant of the discrete-time iterative Linear Quadratic Regulator (iLQR) algorithm, with linear time-complexity in the number of time steps. The approach is based on a projection of…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…