Related papers: Discrete-time linear quadratic stochastic control …
A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general…
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…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
This paper presents a novel factor graph-based approach to solve the discrete-time finite-horizon Linear Quadratic Regulator problem subject to auxiliary linear equality constraints within and across time steps. We represent such optimal…
Optimally combining frequency control with self-consumption can increase revenues from battery storage systems installed behind-the-meter. This work presents an optimized control strategy that allows a battery to be used simultaneously for…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
A method is presented for parallelizing the computation of solutions to discrete-time, linear-quadratic, finite-horizon optimal control problems, which we will refer to as LQR problems. This class of problem arises frequently in robotic…
We study the joint scheduling of behind-the-meter distributed energy resources (DERs), including flexible loads, renewable generation, and battery energy storage systems, under net energy metering tariffs with demand charges. The problem is…
We consider an optimal control problem constrained by a parabolic partial differential equation (PDE) with Robin boundary conditions. We use a well-posed space-time variational formulation in Lebesgue--Bochner spaces with minimal…
This paper presents a provably optimal, real-time capable energy management policy for race cars that provides simple human-driver-implementable control cues. Specifically, we first formulate the energy-constrained minimum-lap-time control…
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel…
This paper is concerned with a linear-quadratic partially observed Stackelberg stochastic differential game with correlated state and observation noises, where the diffusion coefficient does not contain the control variable and the control…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…
We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance…
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…
Traditional solvable optimal control theory predominantly focuses on quadratic costs due to their analytical tractability, yet they often fail to capture critical non-linearities inherent in real-world systems including water, energy,…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
Distributed optimal control is known to be challenging and can become intractable even for linear-quadratic regulator problems. In this work, we study a special class of such problems where distributed state feedback controllers can give…