{"title":"A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with markov chain.","authors":"Tian Chen, Y. Jia","doi":"10.1051/cocv/2023050","DOIUrl":null,"url":null,"abstract":"In this paper, we study an optimal control problem of partially observed mean-field type stochastic control system with Markov chain in progressive structure. The control variable is allowed to enter the diffusion term of the state process and the drift term of the observation process. The control domain need not be convex. In our model, the cost functional and the observation are also of mean-field type. By virtue of a special spike variation, the related stochastic maximum principle has been obtained. The stochastic maximum principle in progressive structure is essentially different from the classical case.","PeriodicalId":50500,"journal":{"name":"Esaim-Control Optimisation and Calculus of Variations","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Esaim-Control Optimisation and Calculus of Variations","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1051/cocv/2023050","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we study an optimal control problem of partially observed mean-field type stochastic control system with Markov chain in progressive structure. The control variable is allowed to enter the diffusion term of the state process and the drift term of the observation process. The control domain need not be convex. In our model, the cost functional and the observation are also of mean-field type. By virtue of a special spike variation, the related stochastic maximum principle has been obtained. The stochastic maximum principle in progressive structure is essentially different from the classical case.
期刊介绍：
ESAIM: COCV strives to publish rapidly and efficiently papers and surveys in the areas of Control, Optimisation and Calculus of Variations.
Articles may be theoretical, computational, or both, and they will cover contemporary subjects with impact in forefront technology, biosciences, materials science, computer vision, continuum physics, decision sciences and other allied disciplines.
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in control: modeling, controllability, optimal control, stabilization, control design, hybrid control, robustness analysis, numerical and computational methods for control, stochastic or deterministic, continuous or discrete control systems, finite-dimensional or infinite-dimensional control systems, geometric control, quantum control, game theory;
in optimisation: mathematical programming, large scale systems, stochastic optimisation, combinatorial optimisation, shape optimisation, convex or nonsmooth optimisation, inverse problems, interior point methods, duality methods, numerical methods, convergence and complexity, global optimisation, optimisation and dynamical systems, optimal transport, machine learning, image or signal analysis;
in calculus of variations: variational methods for differential equations and Hamiltonian systems, variational inequalities; semicontinuity and convergence, existence and regularity of minimizers and critical points of functionals, relaxation; geometric problems and the use and development of geometric measure theory tools; problems involving randomness; viscosity solutions; numerical methods; homogenization, multiscale and singular perturbation problems.
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