Dynamic Optimization of Large-Population Systems with Partial Information

Jianhui Huang, Shujun Wang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

3 Citations (Scopus)

Abstract

We consider the dynamic optimization of large-population system with partial information. The associated mean-field game is formulated, and its consistency condition is equivalent to the wellposedness of some Riccati equation system. The limiting state-average is represented by a mean-field stochastic differential equation driven by the common Brownian motion. The decentralized strategies with partial information are obtained, and the approximate Nash equilibrium is verified.
Original languageEnglish
Pages (from-to)231-245
Number of pages15
JournalJournal of Optimization Theory and Applications
Volume168
Issue number1
DOIs
Publication statusPublished - 1 Jan 2016

Keywords

  • Dynamic optimization
  • Forward–backward stochastic differential equation
  • Large-population system
  • Mean-field game
  • Partial information

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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