Decentralized control of forward and backward stochastic difference system with nested asymmetric information

被引：0
|
作者：
Zhang, Shen [1 ]
Xu, Juanjuan [1 ]
Zhang, Huanshui [2 ]
机构：
[1] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Shandong, Peoples R China
[2] Shandong Univ Sci & Technol, Coll Elect Engn & Automat, Qingdao 266590, Shandong, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2024年 / 478卷
关键词：
Forward and backward stochastic difference; system; Nested asymmetric information; Decentralized control; Optimal control; Riccati equation; MAXIMUM PRINCIPLE; TIME; EQUATIONS; GAME;
D O I：
10.1016/j.amc.2024.128834
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is concerned with the linear quadratic decentralized control of forward and backward stochastic difference system (FBSDS) with multiplicative noises and nested asymmetric information. The main contribution is to give the equivalent condition for the solvability of the problem and the explicit decentralized optimal controllers in terms of Riccati equations. The key technology is solving the forward and backward stochastic difference equations with partial information derived from stochastic maximum principle.
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收藏
页数：16
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