A5046249714- Stochastic processes and financial applications
- Risk and Portfolio Optimization
- Insurance, Mortality, Demography, Risk Management
- Economic theories and models
- Mathematical Biology Tumor Growth
- Advanced Sensor and Control Systems
- Climate Change Policy and Economics
- Mathematical and Theoretical Epidemiology and Ecology Models
- Spacecraft Dynamics and Control
- Stability and Control of Uncertain Systems
- Probability and Risk Models
- Sensor Technology and Measurement Systems
- solar cell performance optimization
- Fluid Dynamics and Turbulent Flows
- Adaptive optics and wavefront sensing
- Optimization and Variational Analysis
- Guidance and Control Systems
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- Aerospace Engineering and Control Systems
- Advanced Algorithms and Applications
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- Advanced Numerical Methods in Computational Mathematics
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Changchun University of Science and Technology
2024-2025
Southern University of Science and Technology
2018-2024
Tianjin Normal University
2013-2019
University of Central Florida
2016-2018
National University of Singapore
2016-2017
Hong Kong Polytechnic University
2015-2016
University of Science and Technology of China
2014-2015
This paper is concerned with a stochastic linear quadratic (LQ) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two different. Closed-loop solvability established by means the corresponding Riccati equation, which implied uniform convexity cost functional. Conditions ensuring functional discussed, including issue how negative weighting matrix-valued function $R(\cdot)$ can be. Finiteness LQ problem...
In this paper, we consider a linear quadratic stochastic two-person zero-sum differential game. The controls for both players are allowed to appear in drift and diffusion of the state equation. weighting matrices performance functional not assumed be definite/non-singular. existence an open-loop saddle point is characterized by adapted solution forward-backward equation with constraints, together convexity-concavity condition, closed-loop regular Riccati It turns out that there significant...
LED solar simulators currently face limitations in their spectral simulation capabilities, especially terms of accurately incorporating AM0G and AM1.5G spectra. To this end, study introduced a framework for an spectrum algorithm that considers both AM1.5G. This examined the principle discretization reconstruction, established foundation analyzing quality developed non-dominated sorting genetic II (NSGA-II)-assisted long short-term memory (LSTM)-based strategy. strategy integrates...
An optimal control problem is studied for a linear mean-field stochastic differential equation with quadratic cost functional. The coefficients and the weighting matrices in functional are all assumed to be deterministic. Closed-loop strategies introduced, which require independent of initial states; such nature makes it very useful convenient applications. In this paper, existence an closed-loop strategy system (also called solvability problem) characterized by regular solution coupled two...
This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem deterministic coefficients. It shown that convexity of the cost functional necessary finiteness LQ problem, whereas uniform sufficient open-loop solvability problem. By considering family uniformly convex functionals, characterization derived and minimizing sequence, whose convergence equivalent to constructed. Then, it proved two coupled differential Riccati equations unique admits state...
This paper is concerned with a stochastic linear-quadratic optimal control problem in finite time horizon, where the coefficients of system are allowed to be random, and weighting matrices cost functional random indefinite. It shown, Hilbert space approach, that for existence an open-loop control, convexity (with respect control) necessary; uniform convexity, which slightly stronger, turns out sufficient, also leads unique solvability associated Riccati equation. Further, it shown admits...
The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ, for short) differential game over finite horizons. Under fairly weak condition, the equilibrium explicitly obtained by first solving forward LQ optimal control problem (SLQ problem, and then backward SLQ problem. Two Riccati equations are derived in constructing equilibrium. An interesting finding that difference of these two coincides equation associated Nash game, which implies actually identical....
.This paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, is required be adapted filtration generated by observation system, which in turn influenced control. The variation method fails this case due fact that not fixed. To overcome difficulty, we use orthogonal decomposition state process write cost functional as sum two parts: one and filtering other part independent choice first possesses...
.This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation quadratic functional in the infinite time horizon. Under suitable conditions, including stabilizability, (strong) exponential, integral, and mean-square turnpike properties pair are established. The keys to correctly formulate corresponding static optimization find equations determining correction processes. These have revealed main feature of problems which significantly...
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game constant coefficients in an infinite time horizon. Open-loop and closed-loop saddle points are introduced. The existence of characterized by the solvability algebraic Riccati equation certain stabilizing condition. A crucial result makes our approach work unique class backward equations
Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 26 May 2020Accepted: 15 February 2021Published online: 06 2021Keywordslinear-quadratic differential game, two-person, zero-sum, open-loop, lower value, upper saddle point, Riccati equation, closed-loop representationAMS Subject Headings93E20, 91A23, 49N10, 49N70Publication DataISSN (print): 0363-0129ISSN (online): 1095-7138Publisher: Society for Industrial and Applied...
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state fixed and initial to lie linear manifold. The controllability of systems studied. Then explicitly obtained by considering parameterized unconstrained backward LQ problem an parameter selection problem. A notable feature our results that, instead solving equation involving derivatives respect parameter, characterized matrix equation.
Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, short) in finite horizon, open-loop solvability is strictly weaker than closed-loop which equivalent to the regular of corresponding Riccati equation. Therefore, when an LQ merely solvable not solvable, possible, usual equation approach will fail produce state feedback representation controls. The objective this paper introduce and investigate notion weak strategy problems so its existence...
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem backward stochastic differential equations (BSDEs, short), where the coefficients of system and weighting matrices in cost functional are allowed to be random. By variational method, optimality system, which coupled linear forward-backward equation (FBSDE, derived, by Hilbert space unique solvability obtained. In order construct control, new Riccati-type introduced. It proved that an adapted solution...
This paper is concerned with a stochastic linear-quadratic optimal control problem in finite time horizon, where the coefficients of system are allowed to be random, and weighting matrices cost functional random indefinite. It shown, Hilbert space approach, that for existence an open-loop control, convexity (with respect control) necessary; uniform convexity, which slightly stronger, turns out sufficient, also leads unique solvability associated Riccati equation. Further, it shown admits...