Results 291 to 300 of about 329,967 (359)

Identifiability and Solvability in Inverse Linear Quadratic Optimal Control Problems

Journal of Systems Science and Complexity, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yibei Li, Bo Wahlberg, Xiaoming Hu 0001
openaire   +2 more sources

Discrete‐time mean‐field stochastic linear‐quadratic optimal control problem with finite horizon

Asian journal of control, 2020
In this paper we consider the discrete‐time mean‐field stochastic linear‐quadratic (MF‐LQ) optimal control problem with indefinite weighting matrices.
Teng Song, B. Liu
semanticscholar   +1 more source

An Indefinite Stochastic Linear Quadratic Optimal Control Problem with Delay and Related Forward–Backward Stochastic Differential Equations

Journal of Optimization Theory and Applications, 2018
Na Li, Zhen Wu
exaly   +2 more sources

Linear Quadratic Optimal Control Problems

2021
In 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
openaire   +1 more source

Stochastic Linear Quadratic Optimal Control Problems

Applied Mathematics & Optimization, 2001
The 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.
openaire   +2 more sources

Optimal information acquisition for a linear quadratic control problem

European Journal of Operational Research, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Snorre Lindset, Arne-Christian Lund, Egil Matsen   +2 more
openaire   +2 more sources

Linear-Quadratic Optimal Control of Differential-Algebraic Systems: The Infinite Time Horizon Problem with Zero Terminal State

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
semanticscholar   +1 more source

Solving linear-quadratic optimal control problems on parallel computers

Optimization Methods and Software, 2008
We 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.
Peter Benner, Enrique S. Quintana-Ortí, Gregorio Quintana-Ortí   +2 more
openaire   +2 more sources

Spectral theory of the linear-quadratic optimal control problem: A new algorithm for spectral computations

IEEE Transactions on Automatic Control, 1980
E Jonckheere, L Silverman
exaly   +2 more sources

Linear Quadratic Optimal Control Problems

1995
In this chapter we consider the optimal control problem with a linear state equation and a quadratic cost functional. Such problems are referred to as linear-quadratic optimal control problems, or LQ problems for short.
Xunjing Li, Jiongmin Yong
openaire   +1 more source