135 citations · 159 across the 15 of their papers we have counts for
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math.OC2017★ 6 cited
On Time-Consistent Solution to Time-Inconsistent Linear-Quadratic Optimal Control of Discrete-Time Stochastic Systems
Xun Li, Yuan-Hua Ni, Ji-Feng Zhang
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-lo…
math.OC2017
Delayed Optimal Control of Stochastic LQ Problem
Yuan-Hua Ni, Cedric Ka-Fai Yiu, Huanshui Zhang +1
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the co…