Solving A Class of Mean-Field LQG Problems
Probability
2020-08-28 v2 Optimization and Control
Abstract
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by directly solving the associated master equations. Some extensions on controls with partial observations are also considered.
Keywords
Cite
@article{arxiv.1910.05236,
title = {Solving A Class of Mean-Field LQG Problems},
author = {Yun Li and Qingshuo Song and Fuke Wu and George Yin},
journal= {arXiv preprint arXiv:1910.05236},
year = {2020}
}
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13 pages