A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
2020 ◽
Vol 26
◽
pp. 69
◽
Keyword(s):
This paper obtains a maximum principle for switching diffusions with mean-field interactions. The motivation stems from a wide range of applications for networked control systems in which large-scale systems are encountered and mean-field interactions are involved. Because of the complexity due to the switching, little has been done for the associate control problems with mean-field interactions. The main ingredient of this work is the use of conditional mean-fields, which is distinct from the existing literature. Using the maximum principle, optimal controls of linear quadratic Gaussian controls with mean-field interactions for switching diffusions are carried out. Numerical examples are also provided for demonstration.
2020 ◽
Vol 26
◽
pp. 41
2013 ◽
Vol 51
(4)
◽
pp. 2809-2838
◽
2016 ◽
Vol 1
(1)
◽
2016 ◽
Vol 32
◽
pp. 16-23
◽
Keyword(s):
2008 ◽
Vol 15
(9)
◽
pp. 755-777
◽
2019 ◽
Vol 57
(6)
◽
pp. 3666-3693
◽
Keyword(s):
2018 ◽
Vol 24
(4)
◽
pp. 1849-1879
◽
2017 ◽
Vol 23
(3)
◽
pp. 1099-1127
◽
Keyword(s):