Related papers: The Ergodic Linear-Quadratic Optimal Control Probl…
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
Optimal control problems with a very large time horizon can be tackled with the Receding Horizon Control (RHC) method, which consists in solving a sequence of optimal control problems with small prediction horizon. The main result of this…
The behaviour of a stochastic dynamical system may be largely influenced by those low-probability, yet extreme events. To address such occurrences, this paper proposes an infinite-horizon risk-constrained Linear Quadratic Regulator (LQR)…
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.
The main purpose of this paper is to discuss detailed the stochastic LQ control problem with random coefficients where the linear system is a multidimensional stochastic differential equation driven by a multidimensional Brownian motion and…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
In the past couple of decades, non-quadratic convex penalties have reshaped signal processing and machine learning; in robust control, however, general convex costs break the Riccati and storage function structure that make the design…
In this article we study ergodic problems in the whole space $\mathbb{R}^N$ for weakly coupled systems of viscous Hamilton-Jacobi equations with coercive right-hand sides. The Hamiltonians are assumed to have a fairly general structure and…
Contraction properties of the Riccati operator are studied within the context of non-stationary linear-quadratic optimal control. A lifting approach is used to obtain a bound on the rate of strict contraction, with respect to the Riemannian…
In this article we address the issue of uniqueness for differential and algebraic operator Riccati equations, under a distinctive set of assumptions on their unbounded coefficients. The class of boundary control systems characterized by…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
In this paper, our goal is to study fundamental foundations of linear quadratic Gaussian (LQG) control problems for stochastic linear time-invariant systems via Lagrangian duality of semidefinite programming (SDP) problems. In particular,…
Stochastic algebraic Riccati equations, also known as rational algebraic Riccati equations, arising in linear-quadratic optimal control for stochastic linear time-invariant systems, were considered to be not easy to solve. The-state-of-art…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
We investigate convergence and turnpike properties for linear-quadratic mean field control problems with common noise. Within a unified framework, we analyze a finite-horizon social optimization problem, its mean field control limit, and…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…
A study of the linear quadratic (LQ) control problem on a finite time interval for a model equation in Hilbert spaces which comprehends the memory of the inputs was performed recently by the authors. The outcome included a closed-loop…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…