相关论文: Fixed Horizon Linear Quadratic Covariance Steering…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the…
This work presents an algorithmic scheme for solving the infinite-time constrained linear quadratic regulation problem. We employ an accelerated version of a popular proximal gradient scheme, commonly known as the Forward-Backward Splitting…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and…
Asymptotic stability in receding horizon control is obtained under a strict pre-dissipativity assumption, in the presence of suitable state constraints. In this paper we analyze how terminal constraints can be replaced by suitable terminal…
This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
We study a finite-horizon covariance steering problem for discrete-time Markov jump linear systems (MJLS) with both state- and control-dependent multiplicative noise. The objective is to minimize a quadratic running cost while steering the…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
The linear quadratic regulator problem is central in optimal control and was investigated since the very beginning of control theory. Nevertheless, when it includes affine state constraints, it remains very challenging from the classical…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
This paper introduces a fast and numerically stable algorithm for the solution of fourth-order linear boundary value problems on an interval. This type of equation arises in a variety of settings in physics and signal processing. Our method…