Discrete Time Mean-Field Stochastic Linear-Quadratic Optimal Control Problems
Optimization and Control
2016-07-25 v2
Abstract
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the problem becomes an operator stochastic LQ problem, in which the optimal control is a linear state feedback. Furthermore, from the form of the optimal control, the problem changes to a matrix dynamic optimization problem. Solving this optimization problem, we obtain the optimal feedback gain and thus the optimal control. Finally, by completing the square, the optimality of the above control is validated.
Cite
@article{arxiv.1302.6416,
title = {Discrete Time Mean-Field Stochastic Linear-Quadratic Optimal Control Problems},
author = {Robert. J Elliott and Xun Li and Yuan-Hua Ni},
journal= {arXiv preprint arXiv:1302.6416},
year = {2016}
}