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Solving A Class of Mean-Field LQG Problems

Authors :
Li, Yun
Song, Qingshuo
Wu, Fuke
Yin, George
Publication Year :
2019

Abstract

In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by directly solving the associated master equations. Some extensions on controls with partial observations are also considered.<br />Comment: 13 pages

Subjects

Subjects :
Mathematics - Probability
Mathematics - Optimization and Control
60J60, 93E20, 93E11

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1910.05236
Document Type :
Working Paper

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