Social optima in robust mean field LQG control

Bing Chang Wang, Jianhui Huang

Research output: Chapter in book / Conference proceedingConference article published in proceeding or bookAcademic researchpeer-review

9 Citations (Scopus)

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.
Original languageEnglish
Title of host publication2017 Asian Control Conference, ASCC 2017
PublisherIEEE
Pages2089-2094
Number of pages6
Volume2018-January
ISBN (Electronic)9781509015733
DOIs
Publication statusPublished - 7 Feb 2018
Event2017 11th Asian Control Conference, ASCC 2017 - Gold Coast Convention and Exhibition Centre, Gold Coast, Australia
Duration: 17 Dec 201720 Dec 2017

Publication series

Name2017 Asian Control Conference, ASCC 2017
Volume2018-January

Conference

Conference2017 11th Asian Control Conference, ASCC 2017
Country/TerritoryAustralia
CityGold Coast
Period17/12/1720/12/17

ASJC Scopus subject areas

  • Control and Optimization

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