Related papers: The LQR-Schr{\"o}dinger Bridge
We present a first step towards a multigrid method for solving the min-cost flow problem. Specifically, we present a strategy that takes advantage of existing black-box fast iterative linear solvers, i.e. algebraic multigrid methods. We…
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…
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…
This paper elucidates the dual structure of the Schr\"{o}dinger dynamics in two correlated stages: (1) We first derive the real-valued Schr\"{o}dinger equation from scratch without referring to classical mechanics, wave mechanics, nor…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
The deterministic variant of the Lambert's problem was posed by Lambert in the 18th century and its solution for conic trajectory has been derived by many, including Euler, Lambert, Lagrange, Laplace, Gauss and Legendre. The solution…
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…
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…
We consider event-triggered linear-quadratic Gaussian (LQG) control when sensor updates are transmitted over an i.i.d. packet-erasure channel. Although the optimal controller in a standard LQG setup is available in closed form, choosing…
A classical approach for solving discrete time nonlinear control on a finite horizon consists in repeatedly minimizing linear quadratic approximations of the original problem around current candidate solutions. While widely popular in many…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
We present a continuous-time equivalent to the well-known iterative linear-quadratic algorithm including an implementation of a backtracking line-search policy and a novel regularization approach based on the necessary conditions in the…
In this paper we study the linear quadratic regulation (LQR) problem for dynamical systems coupled over large-scale networks and obtain locally computable low-complexity solutions. The underlying large or even infinite networks are…
When expressed in Lagrangian variables, the equations of motion for compressible (barotropic) fluids have the structure of a classical Hamiltonian system in which the potential energy is given by the internal energy of the fluid. The…
Linear-Quadratic optimal controls are computed for a class of boundary controlled, boundary observed hyperbolic infinite-dimensional systems, which may be viewed as networks of waves. The main results of this manuscript consist in…
We present a method to sample Markov-chain trajectories constrained to both the initial and final conditions, which we term Markov bridges. The trajectories are conditioned to end in a specific state at a given time. We derive the master…
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…
In this work, we develop a new framework for dynamic network flow problems based on optimal transport theory. We show that the dynamic multi-commodity minimum-cost network flow problem can be formulated as a multi-marginal optimal transport…
It is shown that, in the absence of nodes and under regularity assumptions, a solution in a finite interval of time of the free Schroedinger equation solves a minimization problem which is a stochastic generalization of the classical…