Discrete-Time Control for Systems of Interacting Objects with Unknown Random Disturbance Distributions: A Mean Field Approach

Carmen G. Higuera-Chan, Héctor Jasso-Fuentes, J. Adolfo Minjárez-Sosa*

*Autor correspondiente de este trabajo

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

9 Citas (Scopus)

Resumen

We are concerned with stochastic control systems composed of a large number of N interacting objects sharing a common environment. The evolution of each object is determined by a stochastic difference equation where the random disturbance density ρ is unknown for the controller. We present the Markov control model (N-model) associated to the proportions of objects in each state, which is analyzed according to the mean field theory. Thus, combining convergence results as N→ ∞ (the mean field limit) with a suitable statistical estimation method for ρ, we construct the so-named eventually asymptotically optimal policies for the N-model under a discounted optimality criterion. A consumption-investment problem is analyzed to illustrate our results.

Idioma originalInglés
Páginas (desde-hasta)197-227
Número de páginas31
PublicaciónApplied Mathematics and Optimization
Volumen74
N.º1
DOI
EstadoPublicada - 1 ago. 2016

Nota bibliográfica

Publisher Copyright:
© 2015, Springer Science+Business Media New York.

Huella

Profundice en los temas de investigación de 'Discrete-Time Control for Systems of Interacting Objects with Unknown Random Disturbance Distributions: A Mean Field Approach'. En conjunto forman una huella única.

Citar esto