A rectangular thin plate vibration model subjected to inplane stochastic excitation is simplified to a quasinonintegrable Hamiltonian system with two degrees of freedom. Subsequently a one-dimensional Ito stochastic d...A rectangular thin plate vibration model subjected to inplane stochastic excitation is simplified to a quasinonintegrable Hamiltonian system with two degrees of freedom. Subsequently a one-dimensional Ito stochastic differential equation for the system is obtained by applying the stochastic averaging method for quasi-nonintegrable Hamiltonian systems. The conditional reliability function and conditional probability density are both gained by solving the backward Kolmogorov equation numerically. Finally, a stochastic optimal control model is proposed and solved. The numerical results show the effectiveness of this method.展开更多
A minimax optimal control strategy for quasi-Hamiltonian systems with bounded parametric and/or external disturbances is proposed based on the stochastic averaging method and stochastic differential game. To conduct t...A minimax optimal control strategy for quasi-Hamiltonian systems with bounded parametric and/or external disturbances is proposed based on the stochastic averaging method and stochastic differential game. To conduct the system energy control, the partially averaged Ito stochastic differential equations for the energy processes are first derived by using the stochastic averaging method for quasi-Hamiltonian systems. Combining the above equations with an appropriate performance index, the proposed strategy is searching for an optimal worst-case controller by solving a stochastic differential game problem. The worst-case disturbances and the optimal controls are obtained by solving a Hamilton-Jacobi-Isaacs （HJI） equation. Numerical results for a controlled and stochastically excited DulTlng oscillator with uncertain disturbances exhibit the efficacy of the proposed control strategy.展开更多
We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the ...We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the solution of a class of stochastic differential equationswith nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derivethe sufficient and necessary conditions of the existence of optimal control.展开更多
This paper studies a stochastic linear quadratic optimal control problem (LQ problem, for short), for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the...This paper studies a stochastic linear quadratic optimal control problem (LQ problem, for short), for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. The authors introduce the stochastic Riccati equation for the LQ problem. This is a backward SDE with a complicated nonlinearity and a singularity. The local solvability of such a backward SDE is established, which by no means is obvious. For the case of deterministic coefficients, some further discussions on the Riccati equations have been carried out. Finally, an illustrative example is presented.展开更多
The finite horizon H_2/H_∞ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, the authors derive a mean-field stochastic bounded real lemma(SBRL). Secondly, a sufficien...The finite horizon H_2/H_∞ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, the authors derive a mean-field stochastic bounded real lemma(SBRL). Secondly, a sufficient condition for the solvability of discrete-time mean-field stochastic linearquadratic(LQ) optimal control is presented. Thirdly, based on SBRL and LQ results, this paper establishes a sufficient condition for the existence of discrete-time stochastic H_2/H_∞ control of meanfield type via the solvability of coupled matrix-valued equations.展开更多
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms....The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms.When the control region is convex, a pointwise second-order necessary condition for stochastic singular optimal controls in the classical sense is established; while when the control region is allowed to be nonconvex, we obtain a pointwise second-order necessary condition for stochastic singular optimal controls in the sense of Pontryagin-type maximum principle. It is found that, quite different from the first-order necessary conditions,the correction part of the solution to the second-order adjoint equation appears in the pointwise second-order necessary conditions whenever the diffusion term depends on the control variable, even if the control region is convex.展开更多
We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting cont...We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting control problem of a single agent and then perform averaging across the population; this procedure leads to a constant value for the martingale which shows an invariance property of the population behavior induced by the Nash strategies.展开更多
The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential...The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations.The existence and uniqueness results of the general FBSDEs are obtained.In the framework of the general FBSDEs in this paper,the explicit form of the optimal control for linear-quadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.展开更多
In this paper, tile authors first study two kinds of stochastic differential equations （SDEs） with Levy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimen...In this paper, tile authors first study two kinds of stochastic differential equations （SDEs） with Levy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimensional backward stochastic differential equations （BSDEs） driven by Levy pro- cesses, the authors proceed to study a stochastic linear quadratic （LQ） optimal control problem with a Levy process, where the cost weighting matrices of the state and control are allowed to be indefinite. One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results.展开更多
This paper studies the existence and uniqueness of solutions of fully coupled forward-backward stochastic differential equations with Brownian motion and random jumps.The result is applied to solve a linear-quadratic ...This paper studies the existence and uniqueness of solutions of fully coupled forward-backward stochastic differential equations with Brownian motion and random jumps.The result is applied to solve a linear-quadratic optimal control and a nonzero-sum differential game of backward stochastic differential equations.The optimal control and Nash equilibrium point are explicitly derived. Also the solvability of a kind Riccati equations is discussed.All these results develop those of Lim, Zhou(2001) and Yu,Ji(2008).展开更多
This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backw...This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backward stochastic differential equation theory with certain classical convex variational techniques, the necessary maximum principle is proved for the partially observed optimal control, where the control domain is a nonempty convex set. Under certain convexity assumptions, the author also gives the sufficient conditions of an optimal control for the aforementioned optimal optimal problem. To illustrate the theoretical result, the author also works out an example of partial information linear-quadratic optimal control, and finds an explicit expression of the corresponding optimal control by applying the necessary and sufficient maximum principle.展开更多
This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion.An equation is obtained for the linear Markov feedback control.The existence and uniqueness of the so...This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion.An equation is obtained for the linear Markov feedback control.The existence and uniqueness of the solution to the equation are also studied.展开更多
基金Supported by National Natural Science Foundation of China (No.10732020)
文摘A rectangular thin plate vibration model subjected to inplane stochastic excitation is simplified to a quasinonintegrable Hamiltonian system with two degrees of freedom. Subsequently a one-dimensional Ito stochastic differential equation for the system is obtained by applying the stochastic averaging method for quasi-nonintegrable Hamiltonian systems. The conditional reliability function and conditional probability density are both gained by solving the backward Kolmogorov equation numerically. Finally, a stochastic optimal control model is proposed and solved. The numerical results show the effectiveness of this method.
基金the National Natural Science Foundation of China (No. 10772159)the Specialized Research Fund for DoctorProgram of Higher Education of China (No. 20060335125) theNatural Science Foundation of Zhejiang Province (No. Y607087),China
文摘A minimax optimal control strategy for quasi-Hamiltonian systems with bounded parametric and/or external disturbances is proposed based on the stochastic averaging method and stochastic differential game. To conduct the system energy control, the partially averaged Ito stochastic differential equations for the energy processes are first derived by using the stochastic averaging method for quasi-Hamiltonian systems. Combining the above equations with an appropriate performance index, the proposed strategy is searching for an optimal worst-case controller by solving a stochastic differential game problem. The worst-case disturbances and the optimal controls are obtained by solving a Hamilton-Jacobi-Isaacs （HJI） equation. Numerical results for a controlled and stochastically excited DulTlng oscillator with uncertain disturbances exhibit the efficacy of the proposed control strategy.
基金This research is supported by the National Natural Science Foundation of China
文摘We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the solution of a class of stochastic differential equationswith nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derivethe sufficient and necessary conditions of the existence of optimal control.
基金the National Natural Science Foundation of China!(No.7979D130), theNational Distinguished Youth Science Foundation of China (N
文摘This paper studies a stochastic linear quadratic optimal control problem (LQ problem, for short), for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. The authors introduce the stochastic Riccati equation for the LQ problem. This is a backward SDE with a complicated nonlinearity and a singularity. The local solvability of such a backward SDE is established, which by no means is obvious. For the case of deterministic coefficients, some further discussions on the Riccati equations have been carried out. Finally, an illustrative example is presented.
基金supported by the National Natural Science Foundation of China under Grant Nos.61573227,61633014the Research Fund for the Taishan Scholar Project of Shandong Province of China+1 种基金the SDUST Research Fund under Grant No.2015TDJH105the State Key Laboratory of Alternate Electrical Power System with Renewable Energy Sources under Grant No.LAPS16011
文摘The finite horizon H_2/H_∞ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, the authors derive a mean-field stochastic bounded real lemma(SBRL). Secondly, a sufficient condition for the solvability of discrete-time mean-field stochastic linearquadratic(LQ) optimal control is presented. Thirdly, based on SBRL and LQ results, this paper establishes a sufficient condition for the existence of discrete-time stochastic H_2/H_∞ control of meanfield type via the solvability of coupled matrix-valued equations.
基金supported by the National Basic Research Program of China(973 Program)(Grant No.2011CB808002)National Natural Science Foundation of China(Grant Nos.11221101+4 种基金1123100711401404 and 11471231)the Program for Changjiang Scholars and Innovative Research Team in University(Grant No.IRT1273)the Changjiang Scholars Program from the Chinese Education Ministrythe Spanish Science and Innovation Ministry(Grant No.MTM2011-29306)
文摘The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms.When the control region is convex, a pointwise second-order necessary condition for stochastic singular optimal controls in the classical sense is established; while when the control region is allowed to be nonconvex, we obtain a pointwise second-order necessary condition for stochastic singular optimal controls in the sense of Pontryagin-type maximum principle. It is found that, quite different from the first-order necessary conditions,the correction part of the solution to the second-order adjoint equation appears in the pointwise second-order necessary conditions whenever the diffusion term depends on the control variable, even if the control region is convex.
文摘We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting control problem of a single agent and then perform averaging across the population; this procedure leads to a constant value for the martingale which shows an invariance property of the population behavior induced by the Nash strategies.
基金Project supported by the 973 National Basic Research Program of China (No. 2007CB814904)the National Natural Science Foundations of China (No. 10921101)+2 种基金the Shandong Provincial Natural Science Foundation of China (No. 2008BS01024)the Science Fund for Distinguished Young Scholars of Shandong Province (No. JQ200801)the Shandong University Science Fund for Distinguished Young Scholars(No. 2009JQ004)
文摘The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations.The existence and uniqueness results of the general FBSDEs are obtained.In the framework of the general FBSDEs in this paper,the explicit form of the optimal control for linear-quadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.
基金This work was supported by the National Basic Research Program of China (973 Program) under Grant No. 2007CB814904the Natural Science Foundation of China under Grant No. 10671112+1 种基金Shandong Province under Grant No. Z2006A01Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20060422018
文摘In this paper, tile authors first study two kinds of stochastic differential equations （SDEs） with Levy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimensional backward stochastic differential equations （BSDEs） driven by Levy pro- cesses, the authors proceed to study a stochastic linear quadratic （LQ） optimal control problem with a Levy process, where the cost weighting matrices of the state and control are allowed to be indefinite. One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results.
基金supported by National Natural Science Foundation of China(10671112)National Basic Research Program of China(973 Program)(2007CB814904)the Natural Science Foundation of Shandong Province(Z2006A01)
文摘This paper studies the existence and uniqueness of solutions of fully coupled forward-backward stochastic differential equations with Brownian motion and random jumps.The result is applied to solve a linear-quadratic optimal control and a nonzero-sum differential game of backward stochastic differential equations.The optimal control and Nash equilibrium point are explicitly derived. Also the solvability of a kind Riccati equations is discussed.All these results develop those of Lim, Zhou(2001) and Yu,Ji(2008).
基金This research is supported by the National Nature Science Foundation of China under Grant Nos 11001156, 11071144, the Nature Science Foundation of Shandong Province （ZR2009AQ017）, and Independent Innovation Foundation of Shandong University （IIFSDU）, China.
文摘This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backward stochastic differential equation theory with certain classical convex variational techniques, the necessary maximum principle is proved for the partially observed optimal control, where the control domain is a nonempty convex set. Under certain convexity assumptions, the author also gives the sufficient conditions of an optimal control for the aforementioned optimal optimal problem. To illustrate the theoretical result, the author also works out an example of partial information linear-quadratic optimal control, and finds an explicit expression of the corresponding optimal control by applying the necessary and sufficient maximum principle.
基金partially supported by a grant from the Simons Foundation #209206
文摘This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion.An equation is obtained for the linear Markov feedback control.The existence and uniqueness of the solution to the equation are also studied.
