Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

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

Recommendations

• Stochastic linear quadratic regulators with indefinite control weight costs. II
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
• Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems
• scientific article; zbMATH DE number 1583965
• Stochastic linear-quadratic control revisited
• Linear quadratic regulation of systems with stochastic parameter uncertainties
• Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
• On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost

zbMATH Keywords

maximum principlebackward stochastic differential equationwell-posednessstochastic Riccati equationstochastic linear quadratic regulator

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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
• 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 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
• Title not available (Why is that?)
• 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
• High-order fully actuated system approaches. VIII: Optimal control with application in spacecraft attitude stabilisation
• 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
• Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
• 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
• On the Matrix EquationX = Q − S∗X†S
• Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
• Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
• Statistically consistent inverse optimal control for discrete-time indefinite linear-quadratic systems
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• Linear quadratic optimal regulation for multiplicative noise systems with special terminal penalty
• A multiagent transfer function neuroapproach to solve fuzzy Riccati differential equations
• Optimal bounded noisy feedback control for damping random vibrations
• Discrete-time indefinite mean field linear quadratic games with multiplicative noise
• Indefinite LQ optimal control for stochastic Takagi-Sugeno fuzzy system under sensor data scheduling: finite-horizon case
• Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
• Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
• Optimal Linear-Quadratic Regulator for a Stochastic System under Mutually Inverse Time Preferences in the Cost
• Irregular LQG optimal control problem involving multiplicative noise
• Hurwicz model of uncertain linear quadratic optimal control with jump
• A nonhomogeneous mean-field linear-quadratic optimal control problem and application
• Optimal regulators for a class of nonlinear stochastic systems
• Further results on global adaptive stabilisation for a class of uncertain stochastic nonlinear systems
• The difference and unity of irregular LQ control and standard LQ control and its solution
• Linear-quadratic optimal control problems of state delay systems under full and partial information
• Mean-variance portfolio selection under no-shorting rules: a BSDE approach
• An extension of the algebraic Riccati equation for the stationary control problem without stabilizability condition
• Gradient dynamic optimization with Legendre chaos
• Note on free endpoint stochastic optimal regulator
• Bounds on mean variance hedging in jump diffusion
• Stochastic maximum principle for hybrid optimal control problems under partial observation
• Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• Stabilization control for Itô stochastic system with indefinite state and control weight costs
• Design of a new linear quadratic stochastic optimal controller
• Title not available (Why is that?)
• A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
• Optimal stochastic regulators with state-dependent weights
• A stochastic maximum principle for linear quadratic problem with nonconvex control domain
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales
• Polynomial mixture method of solving ordinary differential equations
• Energy-based stochastic control of neural mass models suggests time-varying effective connectivity in the resting state
• Indefinite risk-sensitive control
• Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations
• On the stochastic linear quadratic control problem with piecewise constant admissible controls
• Stochastic linear-quadratic control with a jump and regime switching on a random horizon
• Title not available (Why is that?)
• Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients
• Discounted cost linear quadratic Gaussian control for descriptor systems
• Optimal regulator for a class of nonlinear stochastic systems with random coefficients
• Turnpike properties for stochastic linear-quadratic optimal control problems with periodic coefficients
• On the stochastic linear quadratic optimal control problem by piecewise constant controls: the infinite horizon time case
• A singular linear quadratic time-inconsistent optimal control problem

This page was built for publication: Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4210184)