SOCIAL OPTIMA IN MEAN FIELD LINEAR-QUADRATIC-GAUSSIAN MODELS WITH MARKOV JUMP PARAMETERS
文献类型：期刊论文
| 作者 | Wang, Bing-Chang1; Zhang, Ji-Feng2,3
|
| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 出版日期 | 2017 |
| 卷号 | 55期号:1页码:429-456 |
| 关键词 | mean field model team decision problem social optimum LQG control Markov jump parameter |
| ISSN号 | 0363-0129 |
| DOI | 10.1137/15M104178X |
| 英文摘要 | This paper investigates social optima of mean field linear-quadratic-Gaussian (LQG) control models with Markov jump parameters. The common objective of the agents is to minimize a social cost-the cost average of the whole society. In the cost functions there are coupled mean field terms. First, we consider the centralized case and get a parameterized equation of mean field effect. Then, we design a set of distributed strategies by solving a limiting optimal control problem in an augmented state space subject to the consistency requirement for mean field approximation. It is shown that the set of distributed strategies is asymptotically team-optimal, and the asymptotically optimal social cost value can be obtained explicitly. The optimal social average cost is compared with the optimal individual cost in mean field games by virtue of the explicit expressions, and the difference is further illustrated by a numerical example. |
| 资助项目 | National Natural Science Foundation of Chinaunder[61403233] ; National Natural Science Foundation of Chinaunder[61227902] ; National Natural Science Foundation of Chinaunder[61503218] ; National Natural Science Foundation of Chinaunder[61633014] ; National Key Basic Research Program of China (973 Program)[2014CB845301] |
| WOS研究方向 | Automation & Control Systems ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000396679400017 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/24849]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wang, Bing-Chang |
| 作者单位 | 1.Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Bing-Chang,Zhang, Ji-Feng. SOCIAL OPTIMA IN MEAN FIELD LINEAR-QUADRATIC-GAUSSIAN MODELS WITH MARKOV JUMP PARAMETERS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2017,55(1):429-456. |
| APA | Wang, Bing-Chang,&Zhang, Ji-Feng.(2017).SOCIAL OPTIMA IN MEAN FIELD LINEAR-QUADRATIC-GAUSSIAN MODELS WITH MARKOV JUMP PARAMETERS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,55(1),429-456. |
| MLA | Wang, Bing-Chang,et al."SOCIAL OPTIMA IN MEAN FIELD LINEAR-QUADRATIC-GAUSSIAN MODELS WITH MARKOV JUMP PARAMETERS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 55.1(2017):429-456. |
入库方式： OAI收割
来源：数学与系统科学研究院
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