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Title: Social optima in robust mean field LQG control
Authors: Wang, BC
Huang, J 
Issue Date: 2018
Publisher: Institute of Electrical and Electronics Engineers Inc.
Source: 2017 Asian Control Conference, ASCC 2017, 2018, v. 2018-January, p. 2089-2094 How to cite?
Abstract: This paper studies mean field linear-quadratic-Gaussian (LQG) social optimum control for mean field models with a common uncertain drift, where both dynamics and costs of agents involve coupled terms. We adopt a robust optimization approach where all the agents view the uncertain drift as an adversarial player. Based on the social variational derivation and the person-by-person optimality principle, we construct an auxiliary optimal control problem for a representative agent. By solving the auxiliary problem combined with consistent mean field approximations, a set of decentralized strategies is designed and further shown to be asymptotically robust optimal.
Description: 2017 11th Asian Control Conference, ASCC 2017, Gold Coast, Australia, 17-20 December 2017
ISBN: 9781509015733
DOI: 10.1109/ASCC.2017.8287497
Appears in Collections:Conference Paper

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