离散时间平均场二次最优控制问题

Discrete-time Mean-field Quadratic Optimal Control Problem

讨论了带有约束终端的离散时间系统的平均场随机线性二次型最优控制问题.利用拉格朗日乘子定理,在线性二次最优控制问题成立的条件下,给出了状态反馈解的一个必要条件.从某种意义上说,本文可以看作是平均场离散时间随机线性二次最优控制问题的推广.

A mean-field stochastic linear-quadratic(LQ)optimal control for discrete-time systems with constraint is discussed in this paper.A necessary condition is presented under which the LQ problem is well-posed and a state feedback solution is derived,with the help of Lagrange multiplier theorem.In a sense,this paper can be seen as the generalization about the mean-field discrete-time stochastic LQ optimal control problem.