标题：Pareto optimality in finite horizon LQ stochastic differential games
作者：Lin, Yaning ;Zhang, Weihai
作者机构：[Lin, Yaning ;Zhang, Weihai ] College of Electrical Engineering and Automation, Shandong University of Science and Technology, Qingdao; 266590, China; 更多
会议名称：29th Chinese Control and Decision Conference, CCDC 2017
会议日期：May 28, 2017 - May 30, 2017
来源：Proceedings of the 29th Chinese Control and Decision Conference, CCDC 2017
摘要：This paper is concerned with the linear quadratic (LQ) Pareto optimal control of the continuous-time stochastic systems in finite horizon. First, based on the necessary and sufficient characterization of the Pareto optimality, we reformulate the Pareto optimality problem as a set of finite horizon optimal control problems with a specific constraint structure. Next, in the spirit of the Lagrange multiplier theorem, we present a necessary condition for a control to be Pareto efficient which is consistent with those of a weighted sum optimal control problem, and give the expressions of all Pareto efficient strategies. © 2017 IEEE.