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Title: Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
Authors: Ni, YH
Li, X 
Zhang, JF
Issue Date: Jul-2016
Source: Systems and control letters, July 2016, v. 93, p. 69-76
Abstract: This paper considers a class of mean-field stochastic linear-quadratic optimal control problems with Markov jump parameters. The new feature of these problems is that means of state and control are incorporated into the systems and the cost functional. Based on the modes of Markov chain, the corresponding decomposition technique of augmented state and control is introduced. It is shown that, under some appropriate conditions, there exists a unique optimal control, which can be explicitly given via solutions of two generalized difference Riccati equations. A numerical example sheds light on the theoretical results established.
Keywords: Markov jump
Mean-field
Stochastic control
Publisher: Elsevier
Journal: Systems and control letters 
ISSN: 0167-6911
DOI: 10.1016/j.sysconle.2016.04.002
Rights: © 2016 Elsevier B.V. All rights reserved.
© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
The following publication Ni, Y. H., Li, X., & Zhang, J. F. (2016). Mean-field stochastic linear–quadratic optimal control with Markov jump parameters. Systems & Control Letters, 93, 69-76 is available at https://doi.org/10.1016/j.sysconle.2016.04.002
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