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An asymmetric information mean‐field type linear‐quadratic stochastic Stackelberg differential game with one leader and two followers
Optimal Control Applications and Methods ( IF 2.0 ) Pub Date : 2020-02-20 , DOI: 10.1002/oca.2585
Guangchen Wang 1 , Yu Wang 1 , Susu Zhang 1, 2
Affiliation  

This paper is concerned with an asymmetric information linear‐quadratic (AILQ) stochastic Stackelberg differential game with one leader and two followers, where the game system is governed by mean‐field type stochastic differential equation (MF‐SDE). With the help of two systems of Riccati equations, the followers solve a MF‐type stochastic LQ game problem with partial information first, and then, the leader turns to address an optimal control problem driven by linear MF‐type forward‐backward stochastic differential filtering equation (MF‐FBSDFE). By maximum principle, direct construction method and optimal filtering, the open‐loop Stackelberg solution is expressed as a feedback form of state, state estimation, and state mean.

中文翻译:

具有一个领导者和两个跟随者的非对称信息均值场型线性二次随机Stackelberg微分博弈

本文涉及具有一个领导者和两个跟随者的非对称信息线性二次(AILQ)随机Stackelberg差分博弈,该博弈系统由均场型随机微分方程(MF-SDE)控制。在两个Riccati方程组的帮助下,跟随者首先使用部分信息解决MF型随机LQ博弈问题,然后,领导者转向解决由线性MF型向前-向后随机差分滤波驱动的最优控制问题。方程(MF‐FBSDFE)。根据最大原理,直接构造方法和最佳滤波,开环Stackelberg解表示为状态,状态估计和状态均值的反馈形式。
更新日期:2020-02-20
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