Mean-field type discrete stochastic linear quadratic optimal control problems
Optimization and Control
2022-10-06 v1
Abstract
In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.
Cite
@article{arxiv.2210.01804,
title = {Mean-field type discrete stochastic linear quadratic optimal control problems},
author = {Arzu Ahmadova and Nazim I. Mahmudov},
journal= {arXiv preprint arXiv:2210.01804},
year = {2022}
}
Comments
arXiv admin note: text overlap with arXiv:2210.01197