相关论文: A Class of Discrete-time Mean-field Stochastic Lin…
Finite-time linear-quadratic control of partial differential-algebraic equations (PDAEs) is considered. The discussion is restricted to those that are radial with index $0$; this corresponds to a nilpotency degree of 1. We establish the…
We are interested in the optimal control problem associated with certain quadratic cost functionals depending on the solution $X=X^\alpha$ of the stochastic mean-field type evolution equation in $\mathbb R^d$ $dX_t=b(t,X_t,\mathcal…
This paper presents sufficient conditions for optimal control of systems with dynamics given by a linear operator, in order to obtain an explicit solution to the Bellman equation that can be calculated in a distributed fashion. Further, the…
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
We study the quadratic regulator problem on a finite time horizon for the wave equation with high internal damping controlled on the boundary by square integrable controls. The approach in this paper transforms the wave equation with high…
We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
We formulate and solve an optimal control problem with cooperative, mean-field coupled linear-quadratic subsystems and additional risk-aware costs depending on the covariance and skew of the disturbance. This problem quantifies the…
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 studies asymptotic solvability of a linear quadratic (LQ) mean field social optimization problem with controlled diffusions and indefinite state and control weights. Starting with an $N$-agent model, we employ a rescaling…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this article, two methods for solving mean-field type optimal control problems are proposed and investigated. The two methods are iterative methods: at each iteration, a Hamilton-Jacobi-Bellman equation is solved, for a terminal…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…
Contraction properties of the Riccati operator are studied within the context of non-stationary linear-quadratic optimal control. A lifting approach is used to obtain a bound on the rate of strict contraction, with respect to the Riemannian…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
In this paper, we study the social optimality for mean field linear quadratic control systems following the direct approach, where subsystems are coupled via individual dynamics and costs according to a network topology. A graph is…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
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…
In this paper, the problem of finite horizon inverse optimal control (IOC) is investigated, where the quadratic cost function of a dynamic process is required to be recovered based on the observation of optimal control sequences. We propose…