Linear-Quadratic Mean Field Control: The Hamiltonian Matrix and Invariant Subspace Method
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Publication:6296121
arXiv1801.02306MaRDI QIDQ6296121FDOQ6296121
Authors: Xiang Chen, M. Y. Huang 
Publication date: 7 January 2018
Abstract: This paper studies the existence and uniqueness of a solution to linear quadratic (LQ) mean field social optimization problems with uniform agents. We exploit a Hamiltonian matrix structure of the associated ordinary differential equation (ODE) system and apply a subspace decomposition method to find the solution. This approach is effective for both the existence analysis and numerical computations. We further extend the decomposition method to LQ mean field games.
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