Modified quasilinearization algorithm for optimal control problems with nondifferential constraints

1974 ◽  
Vol 14 (5) ◽  
pp. 529-556 ◽  
Author(s):  
A. Miele ◽  
A. Mangiavacchi ◽  
A. K. Aggarwal
Keyword(s):  
Optimal Control ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Nondifferential Constraints ◽  
Modified Quasilinearization Algorithm

On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems

2020 ◽  
Vol 26 ◽  
pp. 41
Author(s):  
Tianxiao Wang
Keyword(s):  
Optimal Control ◽  
Closed Loop ◽  
Optimal Control Problems ◽  
Mean Field ◽  
Open Loop ◽  
Time Inconsistency ◽  
Control Problems ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Equilibrium Strategies

This article is concerned with linear quadratic optimal control problems of mean-field stochastic differential equations (MF-SDE) with deterministic coefficients. To treat the time inconsistency of the optimal control problems, linear closed-loop equilibrium strategies are introduced and characterized by variational approach. Our developed methodology drops the delicate convergence procedures in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. When the MF-SDE reduces to SDE, our Riccati system coincides with the analogue in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. However, these two systems are in general different from each other due to the conditional mean-field terms in the MF-SDE. Eventually, the comparisons with pre-committed optimal strategies, open-loop equilibrium strategies are given in details.

Sign in / Sign up

Export Citation Format

Share Document