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Optimal Synthesis and Explicit State-Space Solution for a Decentralized Two-Player Linear-Quadratic Regulator
Two-Player Linear-Quadratic State-Space Solution
2015/6/19
In this paper, we develop controller synthesis algorithms for decentralized control problems. The system considered here is an information structure, consisting of two interconnected linear subsystems...
In this paper, we use the solutions of forward-backward stochastic differentialequations to get the explicit form of the optimal control for linear quadraticstochastic optimal control problem and the ...
Existence of Linear-Quadratic Regulator for Degenerate Diffusions
Stochastic differential equation Hamilton-Jacobi-Bellman equation Linear-Quadratic problem Viscosity solutions Applications to control theory
2010/2/26
This paper studies a linear regulatory quadratic control problem for degenerate Hamilton-Jacobi-Bellman (HJB) equation. We establish the existence of a unique viscosity and a classical solution of the...