A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
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Publication:888784
DOI10.3934/MCRF.2015.5.97zbMATH Open1326.49051arXiv1208.5308OpenAlexW2964204292MaRDI QIDQ888784FDOQ888784
Authors: Jianhui Huang, Xun Li, Jiongmin Yong 
Publication date: 2 November 2015
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Abstract: A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by the discussion of the well-posedness of the LQ problem. The optimal control can be expressed as a linear state feedback involving the state and its mean, through the solutions of two algebraic Riccati equations. The solvability of such kind of Riccati equations is investigated by means of semi-definite programming method.
Full work available at URL: https://arxiv.org/abs/1208.5308
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well-posednessalgebraic Riccati equationsmean-field stochastic differential equationssemi-definite programminglinear-quadratic optimal control problemMF-stabilizability
Semidefinite programming (90C22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)
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