Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs. (English) Zbl 1432.93381
Summary: In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers – one can choose only deterministic time functions, called the deterministic controller, while the other can choose adapted random processes, called the random controller. The optimal control is shown to exist under suitable assumptions. The optimal control is characterized via a system of fully coupled forward-backward stochastic differential equations (FBSDEs) of mean-field type. We solve the FBSDEs via solutions of two (but decoupled) Riccati equations, and give the respective optimal feedback law for both deterministic and random controllers, using solutions of both Riccati equations. The optimal state satisfies a linear stochastic differential equation (SDE) of mean-field type. Both the singular and infinite time-horizonal cases are also addressed.
MSC:
| 93E20 | Optimal stochastic control |
| 93C05 | Linear systems in control theory |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 49N10 | Linear-quadratic optimal control problems |
Keywords:
stochastic LQ; differential/algebraic Riccati equation; mixed deterministic and random control; singular LQ; infinite-horizonReferences:
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