Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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Cited in
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- Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
- Indefinite linear quadratic optimal control problem for singular discrete-time system with multiple input delays
- Discrete time LQG controls with control dependent noise
- On the stochastic linear regulator problem for systems with infinite invariance
- Systems of matrix rational differential equations arising in connection with linear stochastic systems with Markovian jumping.
- On a class of rational matrix differential equations arising in stochastic control.
- Indefinite stochastic LQ control with cross term via semidefinite programming
- Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
- Stochastic linear quadratic optimal control problems with random coefficients
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems
- Stochastic linear quadratic optimal control problems in infinite horizon
- Non-smooth analysis method in optimal investment-BSDE approach
- Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems
- Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints
- Indefinite LQ problem for irregular singular systems
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- Indefinite LQ optimal control with terminal state constraint for discrete-time uncertain systems
- Necessary conditions in stochastic linear quadratic problems and their applications
- Multiple-objective risk-sensitive control and its small noise limit
- Indefinite stochastic optimal LQR control with cross term under IQ constraints.
- Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Indefinite LQ control for discrete-time stochastic systems via semidefinite programming
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Pareto optimal strategy for linear stochastic systems with \(H_\infty\) constraint in finite horizon
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Optimal control and stabilization for Itô systems with input delay
- Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Existence, uniqueness, and stability of uncertain delay differential equations with \(V\)-jump
- Control variable parameterization and optimization method for stochastic linear quadratic models
- \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
- Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance
- Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
- A nonhomogeneous mean-field linear-quadratic optimal control problem and application
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- Optimal stochastic regulators with state-dependent weights
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Characterization of optimal feedback for stochastic linear quadratic control problems
- On the stochastic linear quadratic control problem with piecewise constant admissible controls
- Decentralized hierarchical constrained convex optimization
- On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Necessary and sufficient conditions for optimal stabilization of quasi-linear stochastic systems
- A multiagent transfer function neuroapproach to solve fuzzy Riccati differential equations
- Multiplicative stochastic systems: optimization and analysis
- Stochastic affine quadratic regulator with applications to tracking control of quantum systems
- Dynamic mean-variance portfolio selection with borrowing constraint
- A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
- Optimal control for stochastic nonlinear singular system using neural networks
- Solution to stochastic LQR problem with multiple inputs
- Global adaptive regulation of stochastic high-order nonlinear systems with unknown control direction
- A linear quadratic model based on multistage uncertain random systems
- The contraction rate in Thompson's part metric of order-preserving flows on a cone -- application to generalized Riccati equations
- Uncertain optimal control of linear quadratic models with jump
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
- A communication mix for an event planning: a linear quadratic approach
- A stochastic linear-quadratic problem with Lévy processes and its application to finance
- Multiperiod mean-variance optimization with intertemporal restrictions
- Gradient dynamic optimization with Legendre chaos
- Generalized Riccati equations arising in stochastic games
- On stochastic Riccati equations for the stochastic LQR problem
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Solution of generalized matrix Riccati differential equation for indefinite stochastic linear quadratic singular system using neural networks
- Stochastic linear quadratic control problem on time scales
- Indefinite risk-sensitive control
- Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
- Stochastic linear quadratic regulators with indefinite control weight costs. II
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- Stochastic frequency characteristics
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control
- On deterministic and stochastic linear quadratic control problems
- Sensitivity results in stochastic optimal control: a Lagrangian perspective
- The stochastic linear quadratic control problem with singular estimates
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
- Maximum principle for controlled fractional Fokker-Planck equations
- scientific article; zbMATH DE number 4179271 (Why is no real title available?)
- Polynomial mixture method of solving ordinary differential equations
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Note on free endpoint stochastic optimal regulator
- On the Matrix EquationX = Q − S∗X†S
- Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems
- ε-Optimal and Optimal Controls for the Stochastic Linear-Quadratic Problem
- Design of a new linear quadratic stochastic optimal controller
- The LMI approach for stabilizing of linear stochastic systems
- An extension of the algebraic Riccati equation for the stationary control problem without stabilizability condition
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