Mean-field stochastic linear quadratic optimal control problems: open-loop solvabilities
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Publication:5269845
DOI10.1051/COCV/2016023zbMATH Open1393.49024arXiv1509.02100OpenAlexW2229437907MaRDI QIDQ5269845FDOQ5269845
Publication date: 28 June 2017
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Abstract: This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem with deterministic coefficients. It is shown that convexity of the cost functional is necessary for the finiteness of the mean-field LQ problem, whereas uniform convexity of the cost functional is sufficient for the open-loop solvability of the problem. By considering a family of uniformly convex cost functionals, a characterization of the finiteness of the problem is derived and a minimizing sequence, whose convergence is equivalent to the open-loop solvability of the problem, is constructed. Then, it is proved that the uniform convexity of the cost functional is equivalent to the solvability of two coupled differential Riccati equations and the unique open-loop optimal control admits a state feedback representation in the case that the cost functional is uniformly convex. Finally, some examples are presented to illustrate the theory developed.
Full work available at URL: https://arxiv.org/abs/1509.02100
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finitenessmean-field stochastic differential equationRiccati equationlinear quadratic optimal controlopen-loop solvabilityfeedback representation
Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)
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