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Linear Quadratic Optimal Control Problems
2021In this chapter, we are concerned with linear quadratic optimal control problems (LQ problems for short) for stochastic evolution equations, in which the diffusion terms depend on the control variables and the coefficients are stochastic. In such a general setting, one has to introduce suitable operator-valued backward stochastic evolution equations ...
Qi Lü, Xu Zhang
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Stochastic Linear Quadratic Optimal Control Problems
Applied Mathematics & Optimization, 2001The stochastic linear quadratic optimal control problem is extensively studied for the case of random coefficients, what is highly important in applications like mathematical finance (mean variance hedging). The cost functional is allowed to have a negative weight on the square of the control which reveals interesting differences to the deterministic ...
Chen, S., Yong, J.
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The linear-quadratic optimal control problem with positive controllers†
International Journal of Control, 1980The linear-quadratic optimal control problem with positive controllers is considered. Specifically, necessary and sufficient conditions are given for the existence of a solution to the optimal control problem ; the form of these conditions is explicit for the case where a trajectory-dependent term in the integrand of the pay-off functional is absent ...
M. Pachter
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International Journal of Control, 2017
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arising from financial application. Through matrix dynamical optimisation method, a group of linear feedback controls is investigated. The problem
Xunjing Li, Allen H. Tai, Fei Tian
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This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arising from financial application. Through matrix dynamical optimisation method, a group of linear feedback controls is investigated. The problem
Xunjing Li, Allen H. Tai, Fei Tian
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Optimal periodic control in linear quadratic problems
1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes, 1978In this paper we study a method for the construction of optimal periodic control and optimal period for the time invariant linear quadratic problem with constraints. It is an frequency domain approach basing on the ? criterion of Bittanti, Fronza and Guardabassi.
W. L. Chan, S. K. Ng
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SIAM Journal of Control and Optimization, 2019
In this work we revisit the linear-quadratic optimal control problem for differential-algebraic systems on the infinite time horizon with zero terminal state.
Timo Reis, M. Voigt
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In this work we revisit the linear-quadratic optimal control problem for differential-algebraic systems on the infinite time horizon with zero terminal state.
Timo Reis, M. Voigt
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STOCHASTIC LINEAR QUADRATIC OPTIMAL CONTROL PROBLEMS WITH RANDOM COEFFICIENTS
Chinese Annals of Mathematics, 2000This paper deals with a stochastic linear quadratic control problem, with random coefficients and cost functional having negative weight on the square of the control variable. The authors introduce the stochastic Riccati equation for the problem and investigate the solvability, using the contraction mapping theorem and the Malliavin calculus.
Chen, Shuping, Yong, Jiongmin
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A Singular Linear Quadratic Time-Inconsistent Optimal Control Problem
Journal of Systems Science and Complexity, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Identifiability and Solvability in Inverse Linear Quadratic Optimal Control Problems
Journal of Systems Science and Complexity, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Yibei, Wahlberg, Bo, Hu, Xiaoming
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Solving linear-quadratic optimal control problems on parallel computers
Optimization Methods and Software, 2008We discuss a parallel library of efficient algorithms for the solution of linear-quadratic optimal control problems involving large-scale systems with state-space dimension up to O(104). We survey the numerical algorithms underlying the implementation of the chosen optimal control methods.
Benner, P. ; https://orcid.org/0000-0003-3362-4103 +2 more
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