Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
文献类型：期刊论文
| 作者 | Ni, Yuan-Hua1; Li, Xun2; Zhang, Ji-Feng3
|
| 刊名 | SYSTEMS & CONTROL LETTERS
 |
| 出版日期 | 2016-07-01 |
| 卷号 | 93页码:69-76 |
| 关键词 | Mean-field Markov jump Stochastic control |
| ISSN号 | 0167-6911 |
| DOI | 10.1016/j.sysconle.2016.04.002 |
| 英文摘要 | This paper considers a class of mean-field stochastic linear-quadratic optimal control problems with Markov jump parameters. The new feature of these problems is that means of state and control are incorporated into the systems and the cost functional. Based on the modes of Markov chain, the corresponding decomposition technique of augmented state and control is introduced. It is shown that, under some appropriate conditions, there exists a unique optimal control, which can be explicitly given via solutions of two generalized difference Riccati equations. A numerical example sheds light on the theoretical results established. (C) 2016 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[11471242] ; National Natural Science Foundation of China[612279002] ; China Postdoctoral Science Foundation ; China Scholarship Council ; Hong Kong RGC[519913] ; Hong Kong RGC[15209614] ; Hong Kong RGC[15224215] ; National Key Basic Research Program of China (973 Program)[2014CB845301] |
| WOS研究方向 | Automation & Control Systems ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000378461600010 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22936]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Li, Xun |
| 作者单位 | 1.Tianjin Polytech Univ, Sch Sci, Dept Math, Tianjin 300387, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ni, Yuan-Hua,Li, Xun,Zhang, Ji-Feng. Mean-field stochastic linear-quadratic optimal control with Markov jump parameters[J]. SYSTEMS & CONTROL LETTERS,2016,93:69-76. |
| APA | Ni, Yuan-Hua,Li, Xun,&Zhang, Ji-Feng.(2016).Mean-field stochastic linear-quadratic optimal control with Markov jump parameters.SYSTEMS & CONTROL LETTERS,93,69-76. |
| MLA | Ni, Yuan-Hua,et al."Mean-field stochastic linear-quadratic optimal control with Markov jump parameters".SYSTEMS & CONTROL LETTERS 93(2016):69-76. |
入库方式： OAI收割
来源：数学与系统科学研究院
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