Mar 17, 2017 · We propose efficient numerical methods, which exploit the particular structure and can be applied for large-scale systems.
The treatment of the stochastic linear quadratic optimal control problem with finite time horizon requires the solution of stochastic differential Riccati ...
We prove that the. LQG control problem can be recovered as a special case of our density regulator problem. A numerical example is worked out to elucidate the ...
In this paper, we devote our focus to studying finite-horizon and infinite-horizon linear quadratic optimal control (LQOC) problems in continuous time.
Mar 1, 2024 · This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon.
Jun 20, 2022 · This paper investigates the Pareto optimality of the regular and the indefinite stochastic cooperative linear-quadratic difference games in a finite time ...
We study stochastic optimal control problems with a quadratic cost and linear state equation that involves stochastic coefficients and control dependent noise ...
Mar 28, 2024 · This paper investigates an infinite-horizon linear quadratic stochastic optimal control (LQSOC) problem with state- and control-dependent noises, in which two ...
Dec 5, 2024 · This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant ...
We study linear quadratic optimal control problems for stochastic evolution equations in an infinite horizon with constant coefficients.