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Mean-field stochastic linear-quadratic optimal control problems: Weak closed-loop solvability
Mathematical Control and Related Fields ( IF 1.2 ) Pub Date : 2020-06-01 , DOI: 10.3934/mcrf.2020026
Jingrui Sun , , Hanxiao Wang ,

This paper is concerned with mean-field stochastic linear-quadratic (MF-SLQ, for short) optimal control problems with deterministic coefficients. The notion of weak closed-loop optimal strategy is introduced. It is shown that the open-loop solvability is equivalent to the existence of a weak closed-loop optimal strategy. Moreover, when open-loop optimal controls exist, there is at least one of them admitting a state feedback representation, which is the outcome of a weak closed-loop optimal strategy. Finally, an example is presented to illustrate the procedure for finding weak closed-loop optimal strategies.

中文翻译:

平均场随机线性二次最优控制问题:弱闭环可解性

本文涉及具有确定性系数的平均场随机线性二次(MF-SLQ)最优控制问题。介绍了弱闭环最优策略的概念。结果表明,开环可解性等同于弱闭环最优策略的存在。此外,当存在开环最优控制时,其中至少有一个承认状态反馈表示,这是弱闭环最优策略的结果。最后,给出一个例子来说明寻找弱闭环最优策略的过程。
更新日期:2020-06-01
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