Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
文献类型：期刊论文
| 作者 | Wang, Bing-Chang1; Huang, Jianhui2; Zhang, Ji-Feng3,4 |
| 刊名 | IEEE TRANSACTIONS ON AUTOMATIC CONTROL
 |
| 出版日期 | 2021-04-01 |
| 卷号 | 66期号:4页码:1529-1544 |
| 关键词 | Mathematical model Games Robustness Uncertainty Optimal control Stochastic processes Differential equations Forward-backward stochastic differential equation (FBSDE) linear quadratic optimal control mean field control model uncertainty social functional variation |
| ISSN号 | 0018-9286 |
| DOI | 10.1109/TAC.2020.2996189 |
| 英文摘要 | This article studies social optimal control of mean field linear-quadratic-Gaussian models with uncertainty. Specially, the uncertainty is represented by an uncertain drift, which is common for all agents. A robust optimization approach is applied by assuming all agents treat the uncertain drift as an adversarial player. In our model, both dynamics and costs of agents are coupled by mean field terms, and both finite- and infinite-time horizon cases are considered. By examining social functional variation and exploiting person-by-person optimality principle, we construct an auxiliary control problem for the generic agent via a class of forward-backward stochastic differential equation system. By solving the auxiliary problem and constructing consistent mean field approximation, a set of decentralized control strategies is designed and shown to be asymptotically optimal. |
| 资助项目 | National Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61773241] ; National Natural Science Foundation of China[61877057] ; RGC[P0030808] ; RGC[P0005158] ; Youth Innovation Group Project of Shandong University[2020QNQT016] ; PolyU-SDU Joint Research Center on Financial Mathematics |
| WOS研究方向 | Automation & Control Systems ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000634485900006 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/58417]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhang, Ji-Feng |
| 作者单位 | 1.Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong 999077, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100149, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Bing-Chang,Huang, Jianhui,Zhang, Ji-Feng. Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2021,66(4):1529-1544. |
| APA | Wang, Bing-Chang,Huang, Jianhui,&Zhang, Ji-Feng.(2021).Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,66(4),1529-1544. |
| MLA | Wang, Bing-Chang,et al."Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 66.4(2021):1529-1544. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。