相关论文: Mean field sparse optimal control of systems with …

The paper considers a forward-backward system of parabolic PDEs arising in a Mean Field Game (MFG) model where every agent controls the drift of a trajectory subject to Brownian diffusion, trying to escape a given bounded domain $\Omega$ in…

This paper studies optimal tracking performance issues for multi-input-multi-output linear time-invariant systems under networked control with limited bandwidth and additive colored white Gaussian noise channel. The tracking performance is…

We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…

We consider a class of optimal control problems of stochastic delay differential equations (SDDE) that arise in connection with optimal advertising under uncertainty for the introduction of a new product to the market, generalizing…

This paper studies a nonlinear open-loop mean field Stackelberg stochastic differential game by using the probabilistic method through the FBSDE system and the idea of taking control as the fixed point. We successively construct the…

The characteristic equation for a linear delay differential equation (DDE) has countably infinite roots on the complex plane. We deal with linear DDEs that are on the verge of instability, i.e. a pair of roots of the characteristic equation…

Since response lags are essential in the feedback loops and are required by most physical systems, it is more appropriate to stabilize McKean-Vlasov stochastic differential equations (MV-SDEs) with common noise through the implementation of…

We examine mean field control problems on a finite state space, in continuous time and over a finite time horizon. We characterize the value function of the mean field control problem as the unique viscosity solution of a…

This paper is concerned with the development and use of duality theory for a nonlinear filtering model with white noise observations. The main contribution of this paper is to introduce a stochastic optimal control problem as a dual to the…

In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a…

We consider a typical problem in Mean Field Games: the congestion case, where in the cost that agents optimize there is a penalization for passing through zones with high density of agents, in a deterministic framework. This equilibrium…

In this paper, we study multi-species stochastic interacting particle systems and their mean-field McKean-Vlasov partial differential equations (PDEs) in non-convex landscapes. We discuss the well-posedness of the multi-species SDE system,…

We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…

In this paper, we investigate an optimal control problem for McKean-Vlasov stochastic partial differential equations, in which the coefficients depend on the law of the state process. For systems with nonconvex control sets, we establish a…

In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…

We use a white noise approach to study the problem of optimal inside control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and the Donsker delta…

This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift which is common for all agents. A robust optimization approach…

In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…

This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…

In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…