相关论文: Riccati-based solution to the optimal control of l…
We study finite-time horizon continuous-time linear-quadratic reinforcement learning problems in an episodic setting, where both the state and control coefficients are unknown to the controller. We first propose a least-squares algorithm…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
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…
We present and analyze a new method for solving optimal control problems for Volterra integral equations, based on approximating the controlled Volterra integral equations by a sequence of systems of controlled ordinary differential…
This is a draft paper originally posted on Arxiv as a documentation of a plenary lecture at CDC2023. The core material has been accepted for publication at L4DC 2024. Certainty equivalence adaptive controllers are analysed using a…
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…
This paper studies the finite-horizon linear quadratic regulation problem where the dynamics of the system are assumed to be unknown and the state is accessible. Information on the system is given by a finite set of input-state data, where…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…
This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC…
A novel approach to efficiently treat pure-state equality constraints in optimal control problems (OCPs) using a Riccati recursion algorithm is proposed. The proposed method transforms a pure-state equality constraint into a mixed…
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 analyze strict dissipativity of generalized linear quadratic optimal control problems on Hilbert spaces. Here, the term ``generalized'' refers to cost functions containing both quadratic and linear terms. We characterize strict…
This paper is devoted to the study, for the first time in the literature, of optimal control problems for sweeping processes governed by integro-differential inclusions of the Volterra type with different classes of control functions acting…
This paper is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The notion of the closed-loop solvability is introduced, which…
In this paper, we extend a classical approach to linear quadratic (LQ) optimal control via Popov operators to abstract linear differential-algebraic equations (ADAEs) in Hilbert spaces. To ensure existence of solutions, we assume that the…
This paper deals with a class of optimal control problems which arises in advertising models with Volterra Ornstein-Uhlenbeck process representing the product goodwill. Such choice of the model can be regarded as a stochastic modification…
Motivated by infinite-dimensional optimal control problems with endpoint state constraints, in this Note, we introduce the notion of finite codimensional exact controllability for evolution equations. It is shown that this new…
We discuss the feedback control problem for a two-dimensional two-phase Stefan problem. In our approach, we use a sharp interface representation in combination with mesh-movement to track the interface position. To attain a feedback…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
In this work we investigate explicit and implicit difference equations and the corresponding infinite time horizon linear-quadratic optimal control problem. We derive conditions for feasibility of the optimal control problem as well as…