相关论文: Team-Optimal Solution of Finite Number of Mean-Fie…
This paper investigates a class of mixed stochastic linear-quadratic-Gaussian (LQG) social optimization and Nash game in the context of a large scale system. Two types of interactive agents are involved: a major agent and a large number of…
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can…
This work presents the solution to a class of decentralized linear quadratic state-feedback control problems, in which the plant and controller must satisfy the same combination of delay and sparsity constraints. Using a novel decomposition…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
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…
In this paper, we investigate team optimal control of coupled major-minor subsystems with mean-field sharing. In such a model, there is one major subsystem that directly influences the dynamics of $n$ homogeneous minor subsystems; however,…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
In this paper, we study the linear quadratic (LQ) optimal control problem of linear systems with private input and measurement information. The main challenging lies in the unavailability of other regulators' historical input information.…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
In this article, we consider a fundamental decentralized optimal control problem, which we call the two-player problem. Two subsystems are interconnected in a nested information pattern, and output feedback controllers must be designed for…
This paper considers a linear-quadratic (LQ) mean field control problem involving a major player and a large number of minor players, where the dynamics and costs depend on random parameters. The objective is to optimize a social cost as a…
Designing the optimal linear quadratic regulator (LQR) for a large-scale multi-agent system (MAS) is time-consuming since it involves solving a large-size matrix Riccati equation. The situation is further exasperated when the design needs…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
A decentralized linear quadratic system with a major agent and a collection of minor agents is considered. The major agent affects the minor agents, but not vice versa. The state of the major agent is observed by all agents. In addition,…