Related papers: Discrete-time linear quadratic stochastic control …
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 presents a state and state-input constrained variant of the discrete-time iterative Linear Quadratic Regulator (iLQR) algorithm, with linear time-complexity in the number of time steps. The approach is based on a projection of…
This paper focuses on the linear quadratic control (LQC) design of systems corrupted by both stochastic noise and bounded noise simultaneously. When only of these noises are considered, the LQC strategy leads to stochastic or robust…
This paper studies the linear quadratic regulation (LQR) problem of unknown discrete-time systems via dynamic output feedback learning control. In contrast to the state feedback, the optimality of the dynamic output feedback control for…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
This paper presents a sample-efficient, data-driven control framework for finite-horizon linear quadratic (LQ) control of linear time-varying (LTV) systems. In contrast to the time-invariant case, the time-varying LQ problem involves a…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
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…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
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 is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
We propose controller synthesis for state regulation problems in which a human operator shares control with an autonomy system, running in parallel. The autonomy system continuously improves over human action, with minimal intervention, and…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…