Discrete time mean-field stochastic linear-quadratic optimal control problems

10.1016/j.automatica.2013.08.017 ◽

2013 ◽

Vol 49 (11) ◽

pp. 3222-3233 ◽

Author(s):

Robert Elliott ◽

Xun Li ◽

Yuan-Hua Ni

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Discrete-time mean-field Stochastic linear–quadratic optimal control problems, II: Infinite horizon case

10.1016/j.automatica.2015.04.002 ◽

2015 ◽

Vol 57 ◽

pp. 65-77 ◽

Author(s):

Yuan-Hua Ni ◽

Robert Elliott ◽

Xun Li

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control ◽

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

SIAM Journal on Control and Optimization ◽

10.1137/120892477 ◽

2013 ◽

Vol 51 (4) ◽

pp. 2809-2838 ◽

Author(s):

Jiongmin Yong

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Convergence of discrete-time approximations of constrained linear-quadratic optimal control problems

49th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2010.5717381 ◽

2010 ◽

Author(s):

L. Han ◽

M.K. Camlibel ◽

J.-S. Pang ◽

W.P.M.H. Heemels

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability

Probability Uncertainty and Quantitative Risk ◽

10.1186/s41546-016-0002-3 ◽

2016 ◽

Vol 1 (1) ◽

Author(s):

Xun Li ◽

Jingrui Sun ◽

Jiongmin Yong

Keyword(s):

Optimal Control ◽

Closed Loop ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Mean-Field stochastic Linear Quadratic optimal control problems: Open-loop solvabilities

ESAIM Control Optimisation and Calculus of Variations ◽

10.1051/cocv/2016023 ◽

2017 ◽

Vol 23 (3) ◽

pp. 1099-1127 ◽

Author(s):

Jingrui Sun

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Open Loop ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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A method for discrete-time linear quadratic optimal control problems of a large-scale multi-destination network and applications

UKACC International Conference on Control. Control '96 ◽

10.1049/cp:19960563 ◽

1996 ◽

Author(s):

Shin-Yeu Lin

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Large Scale ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control ◽

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Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations

Applied Mathematics & Optimization ◽

10.1007/s00245-017-9464-7 ◽

2017 ◽

Vol 80 (1) ◽

pp. 223-250 ◽

Author(s):

Xun Li ◽

Jingrui Sun ◽

Jie Xiong

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Optimal Control Problems ◽

Backward Stochastic Differential Equations ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps

Asian Journal of Control ◽

10.1002/asjc.1762 ◽

2018 ◽

Vol 21 (2) ◽

pp. 809-823 ◽

Author(s):

Maoning Tang ◽

Qingxin Meng

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Turnpike Properties and Strict Dissipativity for Discrete Time Linear Quadratic Optimal Control Problems

SIAM Journal on Control and Optimization ◽

10.1137/17m112350x ◽

2018 ◽

Vol 56 (2) ◽

pp. 1282-1302 ◽

Author(s):

Lars Grüne ◽

Roberto Guglielmi

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control ◽

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Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions

Transactions of the American Mathematical Society ◽

10.1090/tran/6502 ◽

2015 ◽

Vol 369 (8) ◽

pp. 5467-5523 ◽

Author(s):

Jiongmin Yong

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Optimal Control Problems ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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