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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