Related papers: Discrete-time linear quadratic stochastic control …
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
In this letter, we study the energy-optimal control of nonlinear port-Hamiltonian (pH) systems in discrete time. For continuous-time pH systems, energy-optimal control problems are strictly dissipative by design. This property, stating that…
This paper develops a novel approach to the consensus problem of multi-agent systems by minimizing a weighted state error with neighbor agents via linear quadratic (LQ) optimal control theory. Existing consensus control algorithms only…
We consider a joint sensor and controller design problem for linear Gaussian stochastic systems in which a weighted sum of quadratic control cost and the amount of information acquired by the sensor is minimized. This problem formulation is…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
We present a systematic method for designing distributed generation and demand control schemes for secondary frequency regulation in power networks such that stability and an economically optimal power allocation can be guaranteed. A…
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…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
We study the minimum energy null-controllability problem for differential equations with point-wise delays. For the equations of both neutral and retarded type we reduce the problem of finding the optimal control to a Volterra integral…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…
Differential equations (DE) constrained optimization plays a critical role in numerous scientific and engineering fields, including energy systems, aerospace engineering, ecology, and finance, where optimal configurations or control…
In this paper we address the problem of information-constrained optimal control for an interconnected system subject to one-step communication delays and power constraints. The goal is to minimize a finite-horizon quadratic cost by…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…