Mean-field stochastic linear-quadratic optimal control with Markov jump parameters

doi:10.1016/j.sysconle.2016.04.002

CSpace > 系统科学研究所

	Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
	Ni, Yuan-Hua 1; Li, Xun 2; Zhang, Ji-Feng3
	2016-07-01
发表期刊	SYSTEMS & CONTROL LETTERS
ISSN	0167-6911
卷号	93 页码:69-76
摘要	This paper considers a class of mean-field stochastic linear-quadratic optimal control problems with Markov jump parameters. The new feature of these problems is that means of state and control are incorporated into the systems and the cost functional. Based on the modes of Markov chain, the corresponding decomposition technique of augmented state and control is introduced. It is shown that, under some appropriate conditions, there exists a unique optimal control, which can be explicitly given via solutions of two generalized difference Riccati equations. A numerical example sheds light on the theoretical results established. (C) 2016 Elsevier B.V. All rights reserved.
关键词	Mean-field Markov jump Stochastic control
DOI	10.1016/j.sysconle.2016.04.002
语种	英语
资助项目	National Natural Science Foundation of China[11471242] ; National Natural Science Foundation of China[612279002] ; China Postdoctoral Science Foundation ; China Scholarship Council ; Hong Kong RGC[519913] ; Hong Kong RGC[15209614] ; Hong Kong RGC[15224215] ; National Key Basic Research Program of China (973 Program)[2014CB845301]
WOS研究方向	Automation & Control Systems ; Operations Research & Management Science
WOS类目	Automation & Control Systems ; Operations Research & Management Science
WOS记录号	WOS:000378461600010
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22937
专题	系统科学研究所
通讯作者	Li, Xun
作者单位	1.Tianjin Polytech Univ, Sch Sci, Dept Math, Tianjin 300387, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Ni, Yuan-Hua,Li, Xun,Zhang, Ji-Feng. Mean-field stochastic linear-quadratic optimal control with Markov jump parameters[J]. SYSTEMS & CONTROL LETTERS,2016,93:69-76.
APA	Ni, Yuan-Hua,Li, Xun,&Zhang, Ji-Feng.(2016).Mean-field stochastic linear-quadratic optimal control with Markov jump parameters.SYSTEMS & CONTROL LETTERS,93,69-76.
MLA	Ni, Yuan-Hua,et al."Mean-field stochastic linear-quadratic optimal control with Markov jump parameters".SYSTEMS & CONTROL LETTERS 93(2016):69-76.