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Mathematics > Optimization and Control

arXiv:2210.01804 (math)
[Submitted on 3 Oct 2022]

Title:Mean-field type discrete stochastic linear quadratic optimal control problems

Authors:Arzu Ahmadova, Nazim I. Mahmudov
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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.
Comments: arXiv admin note: text overlap with arXiv:2210.01197
Subjects: Optimization and Control (math.OC)
Cite as: arXiv:2210.01804 [math.OC]
  (or arXiv:2210.01804v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.2210.01804

Submission history

From: Arzu Ahmadova [view email]
[v1] Mon, 3 Oct 2022 19:27:55 UTC (7 KB)
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