Yong J [Acta Math. Appl. Sin. Engl. Ser. 28(2012), 1–30] [Math. Control Relat. Fields1(2011), 83–118] studied a standard linear quadratic time-inconsistent optimal control problem via a cooperative and non-cooperati...Yong J [Acta Math. Appl. Sin. Engl. Ser. 28(2012), 1–30] [Math. Control Relat. Fields1(2011), 83–118] studied a standard linear quadratic time-inconsistent optimal control problem via a cooperative and non-cooperative approach, respectively. The authors extend his results to a singular case. To handle the singularity, the authors prove the solvability of a generalized Riccati equation,and introduce a notion of MP-convergence of matrix. It is shown that the authors can obtain a family of parameter equilibrium controls in both cases. Another interesting outcome is that a new type of parameter forward-backward Volterra integral equations is derived.展开更多
The existence of step-like contrast structure for a class of singularly perturbed optimal control problem is presented by contrast structure theory. By means of direct scheme of boundary function method, we construct ...The existence of step-like contrast structure for a class of singularly perturbed optimal control problem is presented by contrast structure theory. By means of direct scheme of boundary function method, we construct the uniformly valid asymptotic solution for the singularly perturbed optimal control problem. As an application, an example is given to illustrate the main result in this paper.展开更多
A time-inconsistent linear-quadratic optimal control problem for stochastic differential equations is studied.We introduce conditions where the control cost weighting matrix is possibly singular.Under such conditions,...A time-inconsistent linear-quadratic optimal control problem for stochastic differential equations is studied.We introduce conditions where the control cost weighting matrix is possibly singular.Under such conditions,we obtain a family of closed-loop equilibrium strategies via multi-person differential games.This result extends Yong’s work(2017) in the case of stochastic differential equations,where a unique closed-loop equilibrium strategy can be derived under standard conditions(namely,the control cost weighting matrix is uniformly positive definite,and the other weighting coefficients are positive semidefinite).展开更多
基金National Natural Science Foundation of P. R. China (50477042)Ph. D. Programs Foundation of Ministry of Education of P.R.China (20040422052)the Natural Science Foundation of Shandong Province (Z2004G04)
基金supported by the Natural Science Foundation of China under Grant No.11971334.
文摘Yong J [Acta Math. Appl. Sin. Engl. Ser. 28(2012), 1–30] [Math. Control Relat. Fields1(2011), 83–118] studied a standard linear quadratic time-inconsistent optimal control problem via a cooperative and non-cooperative approach, respectively. The authors extend his results to a singular case. To handle the singularity, the authors prove the solvability of a generalized Riccati equation,and introduce a notion of MP-convergence of matrix. It is shown that the authors can obtain a family of parameter equilibrium controls in both cases. Another interesting outcome is that a new type of parameter forward-backward Volterra integral equations is derived.
基金Acknowledgments. The authors are grateful to Professor Zhiming Wang of East China Normal University for his comments which improved the presentation of the paper. The research was supported by the National Natural Science Foundation of China （11071075, 30921064, 90820307）, Natural Science Foundation of Shanghai （10ZR1409200）, E-Institutes of Shanghai Municipal Education Commission （E03004）, the Knowledge Innovation Program of the Chinese Academy of Sciences.
文摘The existence of step-like contrast structure for a class of singularly perturbed optimal control problem is presented by contrast structure theory. By means of direct scheme of boundary function method, we construct the uniformly valid asymptotic solution for the singularly perturbed optimal control problem. As an application, an example is given to illustrate the main result in this paper.
基金supported by National Natural Science Foundation of China (Grant Nos.12025105, 11971334 and 11931011)the Chang Jiang Scholars Program and the Science Development Project of Sichuan University (Grant Nos. 2020SCUNL101 and 2020SCUNL201)。
文摘A time-inconsistent linear-quadratic optimal control problem for stochastic differential equations is studied.We introduce conditions where the control cost weighting matrix is possibly singular.Under such conditions,we obtain a family of closed-loop equilibrium strategies via multi-person differential games.This result extends Yong’s work(2017) in the case of stochastic differential equations,where a unique closed-loop equilibrium strategy can be derived under standard conditions(namely,the control cost weighting matrix is uniformly positive definite,and the other weighting coefficients are positive semidefinite).
