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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…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
In the past couple of decades, non-quadratic convex penalties have reshaped signal processing and machine learning; in robust control, however, general convex costs break the Riccati and storage function structure that make the design…
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…
The paper extends an impulsive control-theoretical framework towards dynamic systems in the space of measures. We consider a transport equation describing the time-evolution of a conservative "mass" (probability measure), which represents…
An exact and analytic control protocol of two types of finite dimensional quantum systems is proposed. The system can be drive to an arbitrary target state using cosine classical fields in finite cycles. The control parameters which are…
By parametrizing input and state trajectories with basis functions different approximations to the constrained linear quadratic regulator problem are obtained. These notes present and discuss technical results that are intended to…
The paper considers the suboptimal H-infinity control problem for a general discrete-time system (whose transfer function matrix is allowed to be improper or polynomial). The parametrization of output feedback controllers is given in a…
This paper presents a sample-efficient, data-driven control framework for finite-horizon linear quadratic (LQ) control of linear time-varying (LTV) systems. In contrast to the time-invariant case, the time-varying LQ problem involves a…
The paper addresses an existence problem for infinite horizon optimal control when the system under control is exponentially stabilizable or stable. Classes of nonlinear control systems for which infinite horizon optimal controls exist are…
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…
Efficient Riccati equation based techniques for the approximate solution of discrete time linear regulator problems are restricted in their application to problems with quadratic terminal payoffs. Where non-quadratic terminal payoffs are…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
An optimal control law for networked control systems with a discrete-time linear time-invariant (LTI) system as plant and networks between sensor and controller as well as between controller and actuator is proposed. This controller is…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
We consider approximations to the solutions of differential Riccati equations in the context of linear quadratic regulator problems, where the state equation is governed by a multiscale operator. Similarly to elliptic and parabolic…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
In this paper, we present a robust distributed model predictive control (DMPC) scheme for dynamically decoupled nonlinear systems which are subject to state constraints, coupled state constraints and input constraints. In the proposed…
We consider the infinite dimensional linear programming (inf-LP) approach for solving stochastic control problems. The inf-LP corresponding to problems with uncountable state and input spaces is in general computationally intractable. By…