相关论文: Riccati-based solution to the optimal control of l…

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…

Linear-Quadratic (LQ) problems that arise in systems and controls include the classical optimal control problems of the Linear Quadratic Regulator (LQR) in both its deterministic and stochastic forms, as well as $H^\infty$-analysis (the…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show that, under mild regularity assumptions, these equations…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

We prove existence and uniqueness of the mild solution of an infinite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of the semigroup generated by the unbounded operator involved…

We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…

The optimal control input for linear systems can be solved from algebraic Riccati equation (ARE), from which it remains questionable to get the form of the exact solution. In engineering, the acceptable numerical solutions of ARE can be…

This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…

This paper represents the first attempt to develop a theory for linear-quadratic mean field games in possibly infinite dimensional Hilbert spaces. As a starting point, we study the case, considered in most finite dimensional contributions…

This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…

A promising method for constructing a data-driven output-feedback control law involves the construction of a model-free observer. The Linear Quadratic Regulator (LQR) optimal control policy can then be obtained by both policy-iteration (PI)…

In this paper, the reinforcement learning (RL)-based optimal control problem is studied for multiplicative-noise systems, where input delay is involved and partial system dynamics is unknown. To solve a variant of Riccati-ZXL equations,…

A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop optimal control exists, which can be characterized by the…

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 work is concerned with the time optimal control problem for evolution equations in Hilbert spaces. The attention is focused on the maximum principle for the time optimal controllers having the dimension smaller that of the state…

We consider the Cauchy problem for a first-order evolution equation with memory in a finite-dimensional Hilbert space when the integral term is related to the time derivative of the solution. The main problems of the approximate solution of…

This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…

This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…

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…