Related papers: Infinite horizon discounted LQ optimal control pro…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
We study infinite horizon control of continuous-time non-linear branching processes with almost sure extinction for general (positive or negative) discount. Our main goal is to study the link between infinite horizon control of these…
Linear-quadratic regulator (LQR) is a landmark problem in the field of optimal control, which is the concern of this paper. Generally, LQR is classified into state-feedback LQR (SLQR) and output-feedback LQR (OLQR) based on whether the full…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
This paper considers the infinite horizon optimal control problem for nonlinear systems. Under the condition of nonlinear controllability of the system to any terminal set containing the origin and forward invariance of the terminal set, we…
We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…
We propose a novel Galerkin discretization scheme for stochastic optimal control problems on an indefinite time horizon. The control problems are linear-quadratic in the controls, but possibly nonlinear in the state variables, and the…
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invariant Markov chain. Both non-zero-sum and zero-sum LQ-SDG…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
We study the infinite horizon Linear-Quadratic problem and the associated algebraic Riccati equations for systems with unbounded control actions. The operator-theoretic context is motivated by composite systems of Partial Differential…
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…
This paper presents approaches to mean-field control, motivated by distributed control of multi-agent systems. Control solutions are based on a convex optimization problem, whose domain is a convex set of probability mass functions (pmfs).…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
This paper addresses the problem of robust and optimal control for the class of nonlinear quadratic systems subject to norm-bounded parametric uncertainties and disturbances, and in presence of some amplitude constraints on the control…
We propose a PDE-based accelerated gradient algorithm for optimal feedback controls of McKean-Vlasov dynamics that involve mean-field interactions both in the state and action. The method exploits a forward-backward splitting approach and…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…
We present a theory of optimal control for McKean-Vlasov stochastic differential equations with infinite time horizon and discounted gain functional. We first establish the well-posedness of the state equation and of the associated control…
The finite horizon $H_2/H_\infty$ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, we derive a mean-field stochastic bounded real lemma (SBRL). Secondly, a sufficient condition for the…