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Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2021, 卷号: 66, 期号: 4, 页码: 1529-1544
Authors:  Wang, Bing-Chang;  Huang, Jianhui;  Zhang, Ji-Feng
Favorite  |  View/Download:40/0  |  Submit date:2021/06/01
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  
Mean field linear-quadratic control: Uniform stabilization and social optimality 期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
Authors:  Wang, Bing-Chang;  Zhang, Huanshui;  Zhang, Ji-Feng
Favorite  |  View/Download:37/0  |  Submit date:2021/01/14
Mean field game  Variational analysis  Stabilization control  FBSDE  Riccati equation  
MIXED EQUILIBRIUM SOLUTION OF TIME-INCONSISTENT STOCHASTIC LINEAR-QUADRATIC PROBLEM 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2019, 卷号: 57, 期号: 1, 页码: 533-569
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download:45/0  |  Submit date:2019/12/13
time inconsistency  stochastic linear-quadratic optimal control  mean-field optimal control  forward-backward stochastic difference equation  equilibrium solution  
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2018, 卷号: 63, 期号: 9, 页码: 2771-2786
Authors:  Ni, Yuan-Hua;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download:49/0  |  Submit date:2018/10/07
Forward-backward stochastic difference equation  mean-field theory  stochastic linear-quadratic optimal control  time inconsistency  
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2018, 卷号: 63, 期号: 9, 页码: 2771-2786
Authors:  Ni, Yuan-Hua;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download:49/0  |  Submit date:2018/10/07
Forward-backward stochastic difference equation  mean-field theory  stochastic linear-quadratic optimal control  time inconsistency  
SOCIAL OPTIMA IN MEAN FIELD LINEAR-QUADRATIC-GAUSSIAN MODELS WITH MARKOV JUMP PARAMETERS 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 卷号: 55, 期号: 1, 页码: 429-456
Authors:  Wang, Bing-Chang;  Zhang, Ji-Feng
Favorite  |  View/Download:31/0  |  Submit date:2018/07/30
mean field model  team decision problem  social optimum  LQG control  Markov jump parameter  
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2016, 卷号: 61, 期号: 11, 页码: 3269-3284
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng
Favorite  |  View/Download:38/0  |  Submit date:2018/07/30
Indefinite linear-quadratic optimal control  mean-field theory  stochastic system  
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters 期刊论文
SYSTEMS & CONTROL LETTERS, 2016, 卷号: 93, 页码: 69-76
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng
Favorite  |  View/Download:38/0  |  Submit date:2018/07/30
Mean-field  Markov jump  Stochastic control  
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case 期刊论文
AUTOMATICA, 2015, 卷号: 57, 页码: 65-77
Authors:  Ni, Yuan-Hua;  Elliott, Robert;  Li, Xun
Favorite  |  View/Download:39/0  |  Submit date:2018/07/30
Stochastic linear quadratic optimal control  Mean-field theory  Generalized algebraic Riccati equation  
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2015, 卷号: 60, 期号: 7, 页码: 1786-1800
Authors:  Ni, Yuan-Hua;  Zhang, Ji-Feng;  Li, Xun
Favorite  |  View/Download:33/0  |  Submit date:2018/07/30
Indefinite stochastic linear-quadratic optimal control  mean-field theory  multi-period mean-variance portfolio selection