On the time-inconsistent deterministic linear-quadratic control

DOI10.1137/21M1419611MaRDI QIDQ5072288zbMATH OpenOpenAlexFDO

Authors Hongyan Cai, Danhong Chen, Wei Wei, Yunfei Peng

Publication date 27 April 2022

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.03670

zbMATH Keywords

Riccati equationtime inconsistencylinear-quadratic controltwo-point boundary value problemequilibrium controlintrapersonal game

Mathematics Subject Classification ID

Decision theory (91B06) Linear-quadratic optimal control problems (49N10)

Abstract: A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general time-inconsistent deterministic LQ problem, where the inconsistency arises from non-exponential discount functions. By studying the solvability of the Riccati equation, we show the existence and uniqueness of the linear equilibrium for the time-inconsistent LQ problem.

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Cited in

(7)

• Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
• Stochastic linear-quadratic control problems with affine constraints
• A robust time‐inconsistent linear‐quadratic problem
• Closed-loop and open-loop equilibrium of a class time-inconsistent linear-quadratic differential games
• Time-inconsistent stochastic linear-quadratic control
• A singular linear quadratic time-inconsistent optimal control problem
• A deterministic linear quadratic time-inconsistent optimal control problem

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