相关论文: An approximate solution to the decentralized two-c…
We consider scalar decentralized average-cost infinite-horizon LQG problems with two controllers, focusing on the fast dynamics case when the (scalar) eigenvalue of the system is large. It is shown that the best linear controllers'…
In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…
It is well-known that linear dynamical systems with Gaussian noise and quadratic cost (LQG) satisfy a separation principle. Finding the optimal controller amounts to solving separate dual problems; one for control and one for estimation.…
In this two-part paper, we identify a broad class of decentralized output-feedback LQG systems for which the optimal control strategies have a simple intuitive estimation structure and can be computed efficiently. Roughly, we consider the…
This paper revisits the classical Linear Quadratic Gaussian (LQG) control from a modern optimization perspective. We analyze two aspects of the optimization landscape of the LQG problem: 1) connectivity of the set of stabilizing controllers…
We propose a new method for the problem of controlling linear dynamical systems under partial observation and adversarial disturbances. Our new algorithm, Double Spectral Control (DSC), matches the best known regret guarantees while…
We consider the problem of controlling a set of dynamically decoupled plants where the plants' subcontrollers communicate with each other according to a fixed and known network topology. We assume the communication to be instantaneous but…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
In this paper, we solve the long-standing fundamental problem of irregular linear--quadratic (LQ) optimal control, which has received significant attention since the 1960s. We derive the optimal controllers via the key technique of finding…
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and…
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…
We consider a decentralized system with multiple controllers and define substitutability of one controller by another in open-loop strategies. We explore the implications of this property on the optimization of closed-loop strategies. In…
The convergence of policy gradient algorithms hinges on the optimization landscape of the underlying optimal control problem. Theoretical insights into these algorithms can often be acquired from analyzing those of linear quadratic control.…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
A decentralized control system with linear dynamics, quadratic cost, and Gaussian disturbances is considered. The system consists of a finite number of subsystems whose dynamics and per-step cost function are coupled through their…
The H2 guaranteed cost decentralized control problem is investigated in this work. More specifically, on the basis of an appropriate H2 re-formulation that we put in place, the optimal control problem in the presence of parameter…
In this paper we study the stabilization problem of a general class of slow-fast systems with one fast and arbitrarily many slow states. Moreover, the class of systems under study is slowly actuated, meaning that only the slow states are…
The mathematical framework of hybrid system is a recent and general tool to treat control systems involving control action of heterogeneous nature. In this paper, we construct and test a semi-Lagrangian numerical scheme for solving the…
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…