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Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
In this article, we study a continuous-time stochastic $H_\infty$ control problem based on reinforcement learning (RL) techniques that can be viewed as solving a stochastic linear-quadratic two-person zero-sum differential game (LQZSG).…
In this paper we study the conditions, under which the quaternionic Riccati equations have periodic solutions. The obtained result we compare with one recently obtained important one.
The Riccati equation method is used to establish a new stability criteria for linear systems of ordinary differential equations. Two examples are presented in which the obtained result is compared with the results obtained by the Lyapunov…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
Dynamic games arise when multiple agents with differing objectives choose control inputs to a dynamic system. Dynamic games model a wide variety of applications in economics, defense, and energy systems. However, compared to single-agent…
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 consider a linear quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the former is characterized by the solvability of a system of…
In this paper we discuss how to decompose the constrained generalized discrete-time algebraic Riccati equation arising in optimal control and optimal filtering problems into two parts corresponding to an additive decomposition X=X0+D of…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
This paper is devoted to a Stackelberg stochastic differential game for a linear mean-field type stochastic differential system with a mean-field type quadratic cost functional in finite horizon. The coefficients in the state equation and…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
In this paper, a time-periodic MGRIT algorithm is proposed as a means to reduce the time-to-solution of numerical algorithms by exploiting the time periodicity inherent to many applications in science and engineering. The time-periodic…
Many problems in robotics involve multiple decision making agents. To operate efficiently in such settings, a robot must reason about the impact of its decisions on the behavior of other agents. Differential games offer an expressive…
In this paper, we address the inverse problem for linear-quadratic differential non-cooperative games with output-feedback. Given players' stabilizing feedback laws, the goal is to find cost function parameters that lead to a game for which…
This paper presents a pioneering investigation into discrete-time two-person non-zero-sum linear quadratic (LQ) stochastic games with random coefficients. We derive necessary and sufficient conditions for the existence of open-loop Nash…
In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly…
We present a polynomial-time algorithm that always finds an (approximate) Nash equilibrium for repeated two-player stochastic games. The algorithm exploits the folk theorem to derive a strategy profile that forms an equilibrium by…
The averaging method combined with the Lyapunov-Schmidt reduction provides sufficient conditions for the existence of periodic solutions of the following class of perturbative $T$-periodic nonautonomous differential equations…