Related papers: The Ergodic Linear-Quadratic Optimal Control Probl…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
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…
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…
This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost…
Risk-sensitive control balances performance with resilience to unlikely events in uncertain systems. This paper introduces ergodic-risk criteria, which capture long-term cumulative risks through probabilistic limit theorems. By ensuring the…
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…
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
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…
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 is concerned with a class of linear-quadratic stochastic large-population problems with partial information, where the individual agent only has access to a noisy observation process related to the state. The dynamics of each…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.
In this paper we introduce a new kind of Backward Stochastic Differential Equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
This paper considers a risk-sensitive optimal control problem for a field-mediated interconnection of a quantum plant with a coherent (measurement-free) quantum controller. The plant and the controller are multimode open quantum harmonic…