TURNPIKE PROPERTIES FOR MEAN-FIELD LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS

Sun, Jingrui1,2; Yong, Jiongmin3

2024

10.1137/22M1524187

SIAM JOURNAL ON CONTROL AND OPTIMIZATION   影响因子和分区

0363-0129

1095-7138

This paper is concerned with an optimal control problem for a mean -field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the (strong) exponential, integral, and mean -square turnpike properties for the optimal pair are established. The keys are to correctly formulate the corresponding static optimization problem and find the equations determining the correction processes. These have revealed the main feature of the stochastic problems which are significantly different from the deterministic version of the theory.

strong turnpike property mean-field stochastic optimal control linear-quadratic static optimization stabilizability Riccati equation

SCI ; EI

英语

第一 ; 通讯

NSFC["12271242","12322118"] ; Shenzhen Fundamental Research General Program grant[JCYJ20220530112814032] ; NSF[DMS-2305475]

Automation & Control Systems ; Mathematics

Automation & Control Systems ; Mathematics, Applied

WOS:001171639200003

SIAM PUBLICATIONS

ENGINEERING

Web of Science

1.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China
2.Southern Univ Sci & Technol, SUSTech Int Ctr Math, Shenzhen 518055, Guangdong, Peoples R China
3.Univ Cent Florida, Dept Math, Orlando, FL 32816 USA

Sun, Jingrui,Yong, Jiongmin. TURNPIKE PROPERTIES FOR MEAN-FIELD LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2024,62(1).

Sun, Jingrui,&Yong, Jiongmin.(2024).TURNPIKE PROPERTIES FOR MEAN-FIELD LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,62(1).

Sun, Jingrui,et al."TURNPIKE PROPERTIES FOR MEAN-FIELD LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 62.1(2024).