Mean-field stochastic evolution equation;
linear quadratic optimal control problem;
optimal feedback operator;
Riccati equation;
D O I:
10.1051/cocv/2020081
中图分类号:
TP [自动化技术、计算机技术];
学科分类号:
0812 ;
摘要:
We study a linear quadratic optimal control problem for mean-field stochastic evolution equation with the assumption that all the coefficients concerned in the problem are deterministic. We show that the existence of optimal feedback operators is equivalent to that of regular solution to the system which is coupled by two Riccati equations and an explicit formula of the optimal feedback control operator is given via the regular solution. We also show that the mentioned Riccati equations admit a unique strongly regular solution when the cost functional is uniformly convex.
机构:
Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R ChinaShandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
Wang, Guangchen
Wang, Wencan
论文数: 0引用数: 0
h-index: 0
机构:
Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
Wuhan Text Univ, Sch Math & Phys Sci, Wuhan 430200, Peoples R ChinaShandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
机构:
Univ Paris Est, LAMA UMR 8050, UPEMLV, UPEC,CNRS, F-77454 Marne La Vallee, FranceUniv Paris Est, LAMA UMR 8050, UPEMLV, UPEC,CNRS, F-77454 Marne La Vallee, France
机构:
Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R ChinaShandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
Wang, Guangchen
Wang, Wencan
论文数: 0引用数: 0
h-index: 0
机构:
Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
Wuhan Text Univ, Sch Math & Phys Sci, Wuhan 430200, Peoples R ChinaShandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
机构:
Univ Paris Est, LAMA UMR 8050, UPEMLV, UPEC,CNRS, F-77454 Marne La Vallee, FranceUniv Paris Est, LAMA UMR 8050, UPEMLV, UPEC,CNRS, F-77454 Marne La Vallee, France