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Solving A Class of Mean-Field LQG Problems

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 نشر من قبل Qingshuo Song
 تاريخ النشر 2019
  مجال البحث
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In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by directly solving the associated master equations. Some extensions on controls with partial observations are also considered.



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