Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
From MaRDI portal
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
Cited in
(only showing first 100 items - show all)- Linear quadratic optimal control problems of infinite-dimensional mean-field type with jumps
- \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
- Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
- Multiperiod mean-variance optimization with intertemporal restrictions
- A linear quadratic tracking problem for impulsive controlled stochastic systems: the infinite horizon time case
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- A singular linear quadratic time-inconsistent optimal control problem
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Decentralized hierarchical constrained convex optimization
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
- On the Matrix EquationX = Q − S∗X†S
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- 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
- 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
- Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
- Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
- Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Stochastic linear quadratic optimal control problems with random coefficients
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Linear-convex partially observed optimal control problem with Markov chain and input constraint
- Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
- Constructive approximate solutions to classes of state-feedback control problems for stochastic nonlinear systems
- The stochastic linear quadratic control problem with singular estimates
- Existence, uniqueness, and stability of uncertain delay differential equations with \(V\)-jump
- Statistically consistent inverse optimal control for discrete-time indefinite linear-quadratic systems
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
- Linear quadratic control problems of stochastic Volterra integral equations
- Weak closed-loop solvability of linear quadratic stochastic optimal control problems with partial information
- Linear quadratic optimal regulation for multiplicative noise systems with special terminal penalty
- A multiagent transfer function neuroapproach to solve fuzzy Riccati differential equations
- Stochastic linear quadratic control problem on time scales
- Delayed optimal control of stochastic LQ problem
- Indefinite stochastic optimal LQR control with cross term under IQ constraints.
- A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control
- Generalized Riccati equations arising in stochastic games
- Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Optimal bounded noisy feedback control for damping random vibrations
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Pareto efficiency of infinite-horizon cooperative stochastic differential games with Markov jumps and Poisson jumps
- Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
- 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
- Discrete time LQG controls with control dependent noise
- scientific article; zbMATH DE number 7592792 (Why is no real title available?)
- Constrained stochastic recursive linear quadratic optimal control problems and application to finance
- Stochastic linear-quadratic optimal control problems with multi-dimensional state, random coefficients and regime switching
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- Optimal Linear-Quadratic Regulator for a Stochastic System under Mutually Inverse Time Preferences in the Cost
- Irregular LQG optimal control problem involving multiplicative noise
- On a class of rational matrix differential equations arising in stochastic control.
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Stabilization and destabilization of hybrid systems of stochastic differential equations
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
- Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
- Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
- A nonhomogeneous mean-field linear-quadratic optimal control problem and application
- Hurwicz model of uncertain linear quadratic optimal control with jump
- scientific article; zbMATH DE number 4179271 (Why is no real title available?)
- Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
- 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
- A stochastic linear-quadratic problem with Lévy processes and its application to finance
- Necessary and sufficient conditions for optimal stabilization of quasi-linear stochastic systems
- The Regular Free-Endpoint Linear Quadratic Problem with Indefinite Cost
- Indefinite stochastic LQ control with cross term via semidefinite programming
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Optimal regulators for a class of nonlinear stochastic systems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Further results on global adaptive stabilisation for a class of uncertain stochastic nonlinear systems
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
- 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
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- An extension of the algebraic Riccati equation for the stationary control problem without stabilizability condition
- Uncertain optimal control of linear quadratic models with jump
- Gradient dynamic optimization with Legendre chaos
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- Dynamic optimization problems for mean-field stochastic large-population systems
- A mixed linear quadratic optimal control problem with a controlled time horizon
- Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
- Maximum principle for controlled fractional Fokker-Planck equations
- Stochastic affine quadratic regulator with applications to tracking control of quantum systems
- Stochastic linear quadratic optimal control problems in infinite horizon
- A linear quadratic model based on multistage uncertain random systems
- Infinite horizon mean-field linear-quadratic optimal control problems with switching and indefinite-weighted costs
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Note on free endpoint stochastic optimal regulator
- Pareto optimal strategy for linear stochastic systems with \(H_\infty\) constraint in finite horizon
- Uniformly exact controllability/observability and RHC-based feedback stabilization of time-varying Itô stochastic system
- Bounds on mean variance hedging in jump diffusion
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)
