A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
From MaRDI portal
Publication:888784
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)
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.
Recommendations
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
- Stochastic linear quadratic optimal control problems in infinite horizon
- Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
- Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
Cites work
- scientific article; zbMATH DE number 4015842 (Why is no real title available?)
- scientific article; zbMATH DE number 3121490 (Why is no real title available?)
- scientific article; zbMATH DE number 5016968 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 724792 (Why is no real title available?)
- scientific article; zbMATH DE number 966977 (Why is no real title available?)
- scientific article; zbMATH DE number 3111121 (Why is no real title available?)
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- A general stochastic maximum principle for SDEs of mean-field type
- A maximum principle for SDEs of mean-field type
- A mean-field stochastic maximum principle via Malliavin calculus
- A semilinear McKean-Vlasov stochastic evolution equation in Hilbert space
- Approximate McKean-Vlasov representations for a class of SPDEs
- Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses
- Controllability of McKean–Vlasov Stochastic Integrodifferential Evolution Equation in Hilbert Spaces
- Dynamics of the McKean-Vlasov equation
- Graph implementations for nonsmooth convex programs
- Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Linear Matrix Inequalities in System and Control Theory
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
- McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets
- McKean-Vlasov limit in portfolio optimization
- Mean field games
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
- On ergodic measures for McKean-Vlasov stochastic equations
- On the McKean-Vlasov Limit for Interacting Diffusions
- Representation and control of infinite dimensional systems
- Semidefinite Programming
- Solving semidefinite-quadratic-linear programs using SDPT3
- Stochastic differential equations with nonlocal sample dependence
Cited in
(66)- Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises
- A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
- Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
- Receding horizon control for continuous-time mean-field systems
- The mean-field linear quadratic optimal control problem for stochastic systems controlled by impulses
- Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems
- Irregular LQG optimal control problem involving multiplicative noise
- Optimal control and stabilization for linear continuous-time mean-field systems with delay
- Feedback Stackelberg solution for mean-field type stochastic systems with multiple followers
- Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
- Pareto efficiency of finite-horizon mean-field cooperative stochastic differential games with Poisson jumps
- Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems
- Discrete-time mean-field stochastic linear-quadratic optimal control problem with finite horizon
- scientific article; zbMATH DE number 6263657 (Why is no real title available?)
- Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients
- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
- Maximum principle for delayed stochastic mean-field control problem with state constraint
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Finite horizon mean-field stochastic \(H_2/H_\infty\) control for continuous-time systems with \((x,v)\)-dependent noise
- Maximum principle for mean-field SDEs under model uncertainty
- Study on stability and stabilizability of discrete-time mean-field stochastic systems
- \(H_\infty\) control for continuous-time mean-field stochastic systems
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Pareto efficiency in the infinite horizon mean-field type cooperative stochastic differential game
- Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
- Mean field stochastic linear quadratic games for continuum-parameterized multi-agent systems
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
- Non-exponential discounting portfolio management with habit formation
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
- Stochastic linear quadratic optimal control problems in infinite horizon
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
- Linear-quadratic mean field control: the invariant subspace method
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
- Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems
- Mean-field stochastic control with elephant memory in finite and infinite time horizon
- Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon
- Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- Infinite horizon forward-backward SDEs and open-loop optimal controls for stochastic linear-quadratic problems with random coefficients
- Preview control for a class of linear stochastic systems with multiplicative noise
- Finite-time guaranteed cost control for uncertain mean-field stochastic systems
- Mean-field games for multiagent systems with multiplicative noises
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Infinite horizon linear quadratic overtaking optimal control problems
- A maximum principle for mean-field stochastic control system with noisy observation
- An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
- A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises
- Discrete-time mean-field stochastic control with partial observations
- A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Turnpike properties for stochastic linear-quadratic optimal control problems
- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
- Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Pareto-based guaranteed cost control of the uncertain mean-field stochastic systems in infinite horizon
- Mean-field linear-quadratic stochastic differential games
- Ergodic control of McKean-Vlasov SDEs and associated Bellman equation
This page was built for publication: A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q888784)
