Discrete-time Mean-field Stochastic $H_2/H_\infty$ Control
Optimization and Control
2016-07-05 v1
Abstract
The finite horizon control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, we derive a mean-field stochastic bounded real lemma (SBRL). Secondly, a sufficient condition for the solvability of discrete-time mean-field stochastic linear-quadratic (LQ) optimal control is presented. Thirdly, based on SBRL and LQ results, this paper establishes a sufficient condition for the existence of discrete-time stochastic control of mean-field type via the solvability of coupled matrix-valued equations.
Cite
@article{arxiv.1607.00451,
title = {Discrete-time Mean-field Stochastic $H_2/H_\infty$ Control},
author = {Zhang Weihai and Ma Limin},
journal= {arXiv preprint arXiv:1607.00451},
year = {2016}
}
Comments
18 pages, 31 references