Solving A Class of Mean-Field LQG Problems

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DOI10.1109/TAC.2021.3073204MaRDI QIDQ6327022arXivFDO

Authors Yun Li, Qingshuo Song, Fuke Wu, George Yin

Publication date 11 October 2019

Published in arXiv

Full work available at URL https://doi.org/10.1109/TAC.2021.3073204


Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

arXiv classification

math.OCmath.PR


Abstract: In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by directly solving the associated master equations. Some extensions on controls with partial observations are also considered.














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