Related papers: Optimal control of infinite-dimensional dissipativ…
A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE) which is a matrix-valued quadratic backward…
We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
The objective of this work is to study time-minimum and energy-minimum global optimal control for dissipative open quantum systems whose dynamics is governed by the Lindblad equation. The controls appear only in the Hamiltonian. Using…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
We obtain a version of Noether's invariance theorem for optimal control problems with a finite number of cost functionals. The result is obtained by formulating E. Noether's result to optimal control problems subject to isoperimetric…
Novel nonlinear damping control is proposed for the second-order systems. The proportional output feedback is combined with the damping term which is quadratic to the output derivative and inverse to the set-point distance. The global…
In this paper, we analyse control affine optimal control problems with a cost functional involving the absolute value of the control. The Pontryagin extremals associated with such systems are given by (possible) concatenations of bang arcs…
Stability of economic model predictive control can be proven under the assumption that a strict dissipativity condition holds. This assumption has a clear interpretation in terms of the so-called rotated stage cost, which must have its…
In this paper, we investigate the closed-loop solvability of the quantum stochastic linear quadratic optimal control problem. We derive the Pontryagin maximum principle for the linear quadratic control problem of infinite-dimensional…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…
The linear-quadratic-Gaussian (LQG) control paradigm is well-known in literature. The strategy of minimizing the cost function is available, both for the case where the state is known and where it is estimated through an observer. The…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
We discuss the multilevel control problem for linear dynamical systems, consisting in designing a piece-wise constant control function taking values in a finite-dimensional set. In particular, we provide a complete characterization of…
Let $u(t)=-Fx(t)$ be the optimal control of the open-loop system $x'(t)=Ax(t)+Bu(t)$ in a linear quadratic optimization problem. By using different complex variable arguments, we give several lower and upper estimates of the exponential…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
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…