A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
Abstract
This paper obtains a maximum principle for switching diffusions with mean-field interactions. The motivation stems from a wide range of applications for networked control systems in which large-scale systems are encountered and mean-field interactions are involved. Because of the complexity due to the switching, little has been done for the associate control problems with mean-field interactions. The main ingredient of this work is the use of conditional mean-fields, which is distinct from the existing literature. Using the maximum principle, optimal controls of linear quadratic Gaussian controls with mean-field interactions for switching diffusions are carried out. Numerical examples are also provided for demonstration.
Document Details
- Document Type
- Pub Defense Publication
- Publication Date
- Jan 01, 2020
- Source ID
- 10.1051/cocv/2019055
Entities
People
- Dung Tien Nguyen
- Gang George Yin
- Son Luu Nguyen
Organizations
- Army Research Office