相关论文: A Polynomial Chaos Approach to Stochastic LQ Optim…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
Model predictive control is an advanced control approach for multivariable systems with constraints, which is reliant on an accurate dynamic model. Most real dynamic models are however affected by uncertainties, which can lead to…
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 discusses a method enabling optimal control of nonlinear systems that are subject to parametric uncertainty. A stochastic optimal tracking problem is formulated that can be expressed in function of the first two stochastic…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
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…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
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…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
We propose an open loop methodology based on sample statistics to solve chance constrained stochastic optimal control problems with probabilistic safety guarantees for linear systems where the additive Gaussian noise has unknown mean and…
The modelling of linear quadratic Gaussian optimal control problems on large complex networks is intractable computationally. Graphon theory provides an approach to overcome these issues by defining limit objects for infinite sequences of…
This paper considers the discrete-time, stochastic LQR problem with $p$ steps of disturbance preview information where $p$ is finite. We first derive the solution for this problem on a finite horizon with linear, time-varying dynamics and…
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
This article considers the $\mathcal{H}_\infty$ static output-feedback control for linear time-invariant uncertain systems with polynomial dependence on probabilistic time-invariant parametric uncertainties. By applying polynomial chaos…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…