Related papers: Closed-loop solvability of delayed control problem…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…
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…
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…
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…
This paper explores the decentralized control of linear deterministic systems in which different controllers operate based on distinct state information, and extends the findings to the output feedback scenario. Assuming the controllers…
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 is concerned with a linear quadratic optimal control for a class of singular Volterra integral equations. Under proper convexity conditions, optimal control uniquely exists, and it could be characterized via Frechet derivative of…
We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with target constraints. More precisely, we consider a…
Achieving optimal steady-state performance in real-time is an increasingly necessary requirement of many critical infrastructure systems. In pursuit of this goal, this paper builds a systematic design framework of feedback controllers for…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
This paper proposes a new indirect solution method for solving state-constrained optimal control problems by revisiting the well-established optimal control theory and addressing the long-standing issue of discontinuous control and costate…
Optimal control deals with optimization problems in which variables steer a dynamical system, and its outcome contributes to the objective function. Two classical approaches to solving these problems are Dynamic Programming and the…
It is a longstanding unsolved problem to characterize the optimal feedbacks for general SLQs (i.e., stochastic linear quadratic control problems) with random coefficients in infinite dimensions; while the same problem but in finite…
This paper considers the problem of real-time mode scheduling in linear time-varying switched systems subject to a quadratic cost functional. The execution time of hybrid control algorithms is often prohibitive for real-time applications…
The purpose of this paper is to introduce a semigroup approach to linear integro-differential systems with delays in state, control and observation parts. On the one hand, we use product spaces to reformulate state-delay…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
This paper presents a method to verify closed-loop properties of optimization-based controllers for deterministic and stochastic constrained polynomial discrete-time dynamical systems. The closed-loop properties amenable to the proposed…
We generalize the classical theory on algebraic Riccati equations and optimization to infinite-dimensional well-posed linear systems, thus completing the work of George Weiss, Olof Staffans and others. We show that the optimal control is…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
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…