TY - GEN
T1 - Social optima in robust mean field LQG control
AU - Wang, Bing Chang
AU - Huang, Jianhui
PY - 2018/2/7
Y1 - 2018/2/7
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85047458158&partnerID=8YFLogxK
U2 - 10.1109/ASCC.2017.8287497
DO - 10.1109/ASCC.2017.8287497
M3 - Conference article published in proceeding or book
VL - 2018-January
T3 - 2017 Asian Control Conference, ASCC 2017
SP - 2089
EP - 2094
BT - 2017 Asian Control Conference, ASCC 2017
PB - IEEE
T2 - 2017 11th Asian Control Conference, ASCC 2017
Y2 - 17 December 2017 through 20 December 2017
ER -