Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/19969
Title: Linear-quadratic control of discrete-time stochastic systems with indefinite weight matrices and mean-field Terms
Authors: Ni, YH
Li, X
Zhang, JF
Keywords: Indefinite linear-quadratic control
Mean-field theory
Stochastic system
Issue Date: 2014
Publisher: IFAC Secretariat
Source: IFAC Proceedings Volumes (IFAC-PapersOnline), 2014, v. 19, no. , p. 9750-9755 How to cite?
Journal: IFAC Proceedings Volumes (IFAC-PapersOnline) 
Abstract: In this paper, the linear-quadratic optimal control problem is considered for discrete-time stochastic systems with indefinite weight matrices in the cost function and mean-field terms in both the cost function and system dynamics. A set of generalized difference Riccati equations (GDREs) is introduced in terms of algebraic equality constraints and matrix pseudo-inverse. It is shown that the solvability of the GDRE is not only sufficient but also necessary for the well-posedness of the indefinite mean-field linear-quadratic optimal control problem and the existence of optimal feedback as well as open-loop controls.
Description: 19th IFAC World Congress on International Federation of Automatic Control, IFAC 2014, 24-29 August 2014
URI: http://hdl.handle.net/10397/19969
ISBN: 9783902823625
ISSN: 1474-6670
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