Solving a Class of Mean-Field LQG Problems

Solving a Class of Mean-Field LQG Problems

In this article, we study a class of mean-field linear quadratic Gaussian 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 c...

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Veröffentlicht in:IEEE transactions on automatic control 2022-03, Vol.67 (3), p.1597-1602
Hauptverfasser: Li, Yun, Song, Qingshuo, Wu, Fuke, Yin, George
Format: Artikel
Sprache:eng
Schlagworte:
Aerospace electronics
Controlled diffusion
Cost function
Extraterrestrial measurements
linear quadratic Gaussian (LQG) control
McKean–Vlasov equation
Optimal control
partially observable system
Process control
Trajectory
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Zusammenfassung:In this article, we study a class of mean-field linear quadratic Gaussian 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.
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2021.3073204