标题:Time-inconsistent stochastic linear quadratic control for discrete-time systems
作者:Qi Qingyuan;Zhang Huanshui
作者机构:[Qi Qingyuan] School of Control Science and Engineering, Shandong University, Jinan, Shandong 250061, China.;[Zhang Huanshui] School of Control Scienc 更多
通讯作者:Zhang, Huanshui(hszhang@sdu.edu.cn)
通讯作者地址:[Zhang, HS]Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Shandong, Peoples R China.
来源:中国科学. 信息科学
出版年:2017
卷:60
期:12
DOI:10.1007/s11432-017-9167-3
关键词:time-inconsistency; open-loop equilibrium control; maximum principle;; FBSDE; nonsymmetric Riccati equations
摘要:This paper is mainly concerned with the time-inconsistent stochastic linear quadratic (LQ) control problem in a more general formulation for discrete-time systems. The time-inconsistency arises from three aspects: the coefficient matrices depending on the initial pair, the terminal of the cost function involving the initial pair together with the nonlinear terms of the conditional expectation. The main contributions are: firstly, the maximum principle is derived by using variational methods, which forms a flow of forward and backward stochastic difference equations (FBSDE); secondly, in the case of the system state being one-dimensional, the equilibrium control is obtained by solving the FBSDE with feedback gain based on several nonsymmetric Riccati equations; finally, the necessary and sufficient solvability condition for the time-inconsistent LQ control problem is presented explicitly. The key techniques adopted are the maximum principle and the solution to the FBSDE developed in this paper.
收录类别:EI;CSCD;SCOPUS;SCIE;SSCI
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85033701123&doi=10.1007%2fs11432-017-9167-3&partnerID=40&md5=3063ad5b9697302164a22a7567960252
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