Mean-field type discrete stochastic linear quadratic optimal control problems

Published 3 Oct 2022 in math.OC | (2210.01804v1)

Abstract: In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.

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