Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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Publication:4210184
DOI10.1137/S0363012996310478zbMATH Open0916.93084OpenAlexW2997572556MaRDI QIDQ4210184FDOQ4210184
Authors: Xunjing Li, Shuping Chen, Xun Yu Zhou 
Publication date: 21 September 1998
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012996310478
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Cited In (only showing first 100 items - show all)
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Decentralized hierarchical constrained convex optimization
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Multiple-objective risk-sensitive control and its small noise limit
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- High-order fully actuated system approaches: Part VIII. Optimal control with application in spacecraft attitude stabilisation
- Linear quadratic control problems of stochastic Volterra integral equations
- Existence, uniqueness, and stability of uncertain delay differential equations with \(V\)-jump
- Indefinite stochastic optimal LQR control with cross term under IQ constraints.
- Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
- Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
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- Necessary and sufficient conditions for optimal stabilization of quasi-linear stochastic systems
- Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Indefinite stochastic LQ control with cross term via semidefinite programming
- A linear quadratic model based on multistage uncertain random systems
- Stochastic linear quadratic optimal control problems in infinite horizon
- Pareto optimal strategy for linear stochastic systems with \(H_\infty\) constraint in finite horizon
- Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance
- A Q-Learning Algorithm for Discrete-Time Linear-Quadratic Control with Random Parameters of Unknown Distribution: Convergence and Stabilization
- Multiplicative stochastic systems: optimization and analysis
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems
- Optimal control and stabilization for Itô systems with input delay
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Control variable parameterization and optimization method for stochastic linear quadratic models
- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- On the stochastic linear regulator problem for systems with infinite invariance
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
- Optimistic value model of indefinite LQ optimal control for discrete-time uncertain systems
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Solution to stochastic LQR problem with multiple inputs
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Characterization of optimal feedback for stochastic linear quadratic control problems
- Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
- Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
- Indefinite LQ problem for irregular singular systems
- Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Global adaptive regulation of stochastic high-order nonlinear systems with unknown control direction
- Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
- Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
- Non-smooth analysis method in optimal investment-BSDE approach
- Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints
- Multiperiod mean-variance optimization with intertemporal restrictions
- Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
- Discrete-time indefinite stochastic LQ control via SDP and LMI methods
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
- Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
- Stochastic linear quadratic optimal control problems with random coefficients
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- The stochastic linear quadratic control problem with singular estimates
- Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
- Delayed optimal control of stochastic LQ problem
- Stochastic linear quadratic control problem on time scales
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control
- Generalized Riccati equations arising in stochastic games
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
- Title not available (Why is that?)
- Discrete time LQG controls with control dependent noise
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
- On a class of rational matrix differential equations arising in stochastic control.
- Stabilization and destabilization of hybrid systems of stochastic differential equations
- Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
- A stochastic linear-quadratic problem with Lévy processes and its application to finance
- Indefinite linear quadratic optimal control problem for singular discrete-time system with multiple input delays
- The Regular Free-Endpoint Linear Quadratic Problem with Indefinite Cost
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Dynamic optimization problems for mean-field stochastic large-population systems
- Uncertain optimal control of linear quadratic models with jump
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- A mixed linear quadratic optimal control problem with a controlled time horizon
- Stochastic affine quadratic regulator with applications to tracking control of quantum systems
- Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
- Maximum principle for controlled fractional Fokker-Planck equations
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem
- Stochastic linear quadratic optimal control problems
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- On stochastic Riccati equations for the stochastic LQR problem
- Stochastic problems of absolute stability
- The contraction rate in Thompson's part metric of order-preserving flows on a cone -- application to generalized Riccati equations
- Stochastic frequency characteristics
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- Optimal control for stochastic linear quadratic singular periodic neuro Takagi-Sugeno (T-S) fuzzy system with singular cost using ant colony programming
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