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Risk-Sensitive Mean-Field-Type Control
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).ORCID iD: 0000-0002-6608-0715
2017 (English)In: 2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), IEEE , 2017Conference paper, Published paper (Refereed)
Abstract [en]

We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state and control processes. Moreover the risk-sensitive cost functional is also of mean-field type. We derive optimality equations in infinite dimensions connecting dual functions associated with Bellman functional to the adjoint process of the Pontryagin maximum principle. The case of linear-exponentiated quadratic cost and its connection with the risk-neutral solution is discussed.

Place, publisher, year, edition, pages
IEEE , 2017.
Series
IEEE Conference on Decision and Control, ISSN 0743-1546
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-223843ISI: 000424696900006ISBN: 978-1-5090-2873-3 OAI: oai:DiVA.org:kth-223843DiVA, id: diva2:1188013
Conference
IEEE 56th Annual Conference on Decision and Control (CDC), DEC 12-15, 2017, Melbourne, AUSTRALIA
Funder
Swedish Research Council
Note

QC 20180306

Available from: 2018-03-06 Created: 2018-03-06 Last updated: 2018-03-06Bibliographically approved

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Djehiche, Boualem

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