Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems [PDF]
SIAM Journal on Control and Optimization, 2022 This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the (strong) exponential,
Jingrui Sun, J. Yong
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Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method [PDF]
IEEE Transactions on Automatic Control, 2020 This article adopts a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where the drift and diffusion terms in the dynamics may depend on both the state and control.
Na Li, Xunjing Li, Jing Peng, Z. Xu
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Linear Quadratic Optimal Control Problem for Linear Stochastic Generalized System in Hilbert Spaces
Mathematics, 2022 A finite-horizon linear stochastic quadratic optimal control problem is investigated by the GE-evolution operator in the sense of the mild solution in Hilbert spaces.
Zhaoqiang Ge
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E S A I M: Control, Optimisation and Calculus of Variations, 2022 In this article, the stochastic linear-quadratic optimal control problem of mean-field type with jumps under partial information is discussed. The state equation contains affine terms is a SDE with jumps driven by a multidimensional Brownian motion and a
Yiyun Yang, M. Tang, Qingxin Meng
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Two Inverse Problems Solution by Feedback Tracking Control
Axioms, 2021 Two inverse ill-posed problems are considered. The first problem is an input restoration of a linear system. The second one is a restoration of time-dependent coefficients of a linear ordinary differential equation.
Vladimir Turetsky
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A generalization of the Riccati recursion for equality‐constrained linear quadratic optimal control [PDF]
Optimal control applications & methods, 2023 This paper introduces a generalization of the well‐known Riccati recursion for solving the discrete‐time equality‐constrained linear quadratic optimal control problem.
Lander Vanroye +2 more
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Robust Quadratic Optimal Control for Discrete-Time Linear Systems with Non-Stochastic Noises
Applied Sciences, 2022 In this paper, the quadratic optimal control problem is investigated for the discrete-time linear systems with process and measurement noises which belong to specified ellipsoidal sets.
Jiaoru Huang +4 more
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Resolution of a Linear-quadratic Optimal Control Problem Based on Finite-dimensional Models
Известия Иркутского государственного университета: Серия "Математика", 2021 We consider a linear-quadratic optimal control problem with indefinite matrices and the interval control constraint. The problem also has a regularizationparameter in the functional.
V.A. Srochko +2 more
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A stochastic linear-quadratic optimal control problem with jumps in an infinite horizon
AIMS Mathematics, 2023 In this paper, a stochastic linear-quadratic (LQ, for short) optimal control problem with jumps in an infinite horizon is studied, where the state system is a controlled linear stochastic differential equation containing affine term driven by a one ...
Jiali Wu, Maoning Tang, Qingxin Meng
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Stochastic Linear-Quadratic Optimal Control with Partial Observation [PDF]
SIAM Journal of Control and Optimization, 2022 The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the observation system ...
Jingrui Sun, J. Xiong
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