相关论文: Stabilization Control for ItO Stochastic System wi…

This chapter deals with the stabilization of a class of linear time-varying parabolic partial differential equations employing receding horizon control (RHC). Here, RHC is finite-dimensional, i.e., it enters as a time-depending linear…

In this paper, we consider the adaptive linear quadratic Gaussian control problem, where both the linear transformation matrix of the state $A$ and the control gain matrix $B$ are unknown. The proposed adaptive optimal control only assumes…

In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…

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…

Simultaneous stabilization problem arises in various systems and control applications. This paper introduces a new approach to addressing this problem in the multivariable scenario, building upon our previous findings in the scalar case.…

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…

This paper addresses the problem of stabilizing a part of variables for control systems described by stochastic differential equations of the Ito type. The considered problem is related to the asymptotic stability property of invariant sets…

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 focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…

This paper investigates an inhomogeneous non-zero-sum linear-quadratic (LQ, for short) differential game problem whose state process and cost functional are regulated by a Markov chain. Under the $L^2$ stabilizability framework, we first…

We propose a stochastic model predictive control (SMPC) framework for a broad class of unconstrained controlled stochastic differential equations (SDEs) and establish its mean-square exponential stability in the infinite-horizon limit. At…

This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…

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 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 study L 1 -optimal stabilization of linear systems with finite and infinite horizons. Main results concern the existence, uniqueness and structure of optimal solutions, and the robustness of optimal cost.

An indefinite stochastic Riccati Equation is a matrix-valued, highly nonlinear backward stochastic differential equation together with an algebraic, matrix positive definiteness constraint. We introduce a new approach to solve a class of…

We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati…

This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…

An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…

This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…