Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon

doi:10.1109/TAC.2020.2996189

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	Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
	Wang, Bing-Chang 1; Huang, Jianhui 2; Zhang, Ji-Feng 3,4
	2021-04-01
发表期刊	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN	0018-9286
卷号	66 期号:4 页码:1529-1544
摘要	This article studies social optimal control of mean field linear-quadratic-Gaussian models with uncertainty. Specially, the uncertainty is represented by an uncertain drift, which is common for all agents. A robust optimization approach is applied by assuming all agents treat the uncertain drift as an adversarial player. In our model, both dynamics and costs of agents are coupled by mean field terms, and both finite- and infinite-time horizon cases are considered. By examining social functional variation and exploiting person-by-person optimality principle, we construct an auxiliary control problem for the generic agent via a class of forward-backward stochastic differential equation system. By solving the auxiliary problem and constructing consistent mean field approximation, a set of decentralized control strategies is designed and shown to be asymptotically optimal.
关键词	Mathematical model Games Robustness Uncertainty Optimal control Stochastic processes Differential equations Forward-backward stochastic differential equation (FBSDE) linear quadratic optimal control mean field control model uncertainty social functional variation
DOI	10.1109/TAC.2020.2996189
收录类别	SCI
语种	英语
资助项目	National Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61773241] ; National Natural Science Foundation of China[61877057] ; RGC[P0030808] ; RGC[P0005158] ; Youth Innovation Group Project of Shandong University[2020QNQT016] ; PolyU-SDU Joint Research Center on Financial Mathematics
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000634485900006
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58418
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Ji-Feng
作者单位	1.Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong 999077, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100149, Peoples R China
推荐引用方式 GB/T 7714	Wang, Bing-Chang,Huang, Jianhui,Zhang, Ji-Feng. Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2021,66(4):1529-1544.
APA	Wang, Bing-Chang,Huang, Jianhui,&Zhang, Ji-Feng.(2021).Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,66(4),1529-1544.
MLA	Wang, Bing-Chang,et al."Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 66.4(2021):1529-1544.