Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control

doi:10.1109/TAC.2014.2385253

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	Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
	Ni, Yuan-Hua 1,2; Zhang, Ji-Feng2 ; Li, Xun 3
刊名	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
	2015-07-01
卷号	60 期号:7 页码:1786-1800
关键词	Indefinite stochastic linear-quadratic optimal control mean-field theory multi-period mean-variance portfolio selection
ISSN号	0018-9286
DOI	10.1109/TAC.2014.2385253
英文摘要	This paper is concerned with the discrete-time indefinite mean-field linear-quadratic optimal control problem. The so-called mean-field type stochastic control problems refer to the problem of incorporating the means of the state variables into the state equations and cost functionals, such as the mean-variance portfolio selection problems. A dynamic optimization problem is called to be nonseparable in the sense of dynamic programming if it is not decomposable by a stage-wise backward recursion. The classical dynamic-programming-based optimal stochastic control methods would fail in such nonseparable situations as the principle of optimality no longer applies. In this paper, we show that both the well-posedness and the solvability of the indefinite mean-field linear-quadratic problem are equivalent to the solvability of two coupled constrained generalized difference Riccati equations and a constrained linear recursive equation. We characterize the optimal control set completely, and obtain a set of necessary and sufficient conditions on the mean-variance portfolio selection problem. The results established in this paper offer a more accurate solution scheme in tackling directly the issue of nonseparability and deriving the optimal policies analytically for the mean-variance-type portfolio selection problems.
资助项目	National Natural Science Foundation of China[11471242] ; National Natural Science Foundation of China[612279002] ; China Postdoctoral Science Foundation ; China Scholarship Council ; National Key Basic Research Program of China (973 Program)[2014CB845301] ; Hong Kong RGC[520412] ; Hong Kong RGC[15209614]
WOS研究方向	Automation & Control Systems ; Engineering
语种	英语
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
WOS记录号	WOS:000356871400005
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/20113]
专题	系统科学研究所
通讯作者	Ni, Yuan-Hua
作者单位	1.Tianjin Polytech Univ, Sch Sci, Dept Math, Tianjin 300387, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 3.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Ni, Yuan-Hua,Zhang, Ji-Feng,Li, Xun. Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2015,60(7):1786-1800.
APA	Ni, Yuan-Hua,Zhang, Ji-Feng,&Li, Xun.(2015).Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,60(7),1786-1800.
MLA	Ni, Yuan-Hua,et al."Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 60.7(2015):1786-1800.