6 citations · 32 across the 15 of their papers we have counts for
15 papers
A general maximum principle for optimal control of stochastic differential delay systems
Weijun Meng, Jingtao Shi, Tianxiao Wang +1
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and a…
Recursive Identification of Binary-Valued Systems under Uniform Persistent Excitations
Jieming Ke, Ying Wang, Yanlong Zhao +1
This paper studies the control-oriented identification problem of set-valued moving average systems with uniform persistent excitations and observation noises. A stochastic approxi…
Probabilistic Framework of Howard's Policy Iteration: BML Evaluation and Robust Convergence Analysis
Yutian Wang, Yuan-Hua Ni, Zengqiang Chen +1
This paper aims to build a probabilistic framework for Howard's policy iteration algorithm using the language of forward-backward stochastic differential equations (FBSDEs). As opp…
Nash equilibrium of multi-agent graphical game with a privacy information encrypted learning algorithm
Kun Zhang, Ji-Feng Zhang, Rong Su +1
This paper studies the global Nash equilibrium problem of leader-follower multi-agent dynamics, which yields consensus with a privacy information encrypted learning algorithm. With…
Kalman-Bucy filtering and minimum mean square estimator under uncertainty
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun +1
In this paper, we study a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the a…
Mean Field Linear Quadratic Control: Uniform Stabilization and Social Optimality
Bing-Chang Wang, Huanshui Zhang, Ji-Feng Zhang
This paper is concerned with uniform stabilization and social optimality for general mean field linear quadratic control systems, where subsystems are coupled via individual dynami…
Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
Bing-Chang Wang, Jianhui Huang, Ji-Feng Zhang
This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift whic…
Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize th…
Mixed Equilibrium Solution of Time-Inconsistent Stochastic LQ Problem
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilib…
On Time-Consistent Solution to Time-Inconsistent Linear-Quadratic Optimal Control of Discrete-Time Stochastic Systems
Xun Li, Yuan-Hua Ni, Ji-Feng Zhang
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-lo…
Delayed Optimal Control of Stochastic LQ Problem
Yuan-Hua Ni, Cedric Ka-Fai Yiu, Huanshui Zhang +1
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the co…
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
Yuan-Hua Ni, Ji-Feng Zhang, Miroslav Krstic
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic…
Consensus conditions of continuous-time multi-agent systems with time-delays and measurement noises
Xiaofeng Zong, Tao Li, Ji-Feng Zhang
This work is concerned with stochastic consensus conditions of multi-agent systems with both time-delays and measurement noises. For the case of additive noises, we develop some ne…
Coordination Over Multi-Agent Networks With Unmeasurable States and Finite-Level Quantization
Yang Meng, Tao Li, Ji-Feng Zhang
In this note, the coordination of linear discrete-time multi-agent systems over digital networks is investigated with unmeasurable states in agents' dynamics. The quantized-observe…
Multi-Agent Consensus With Relative-State-Dependent Measurement Noises
Tao Li, Fuke Wu, Ji-Feng Zhang
In this note, the distributed consensus corrupted by relative-state-dependent measurement noises is considered. Each agent can measure or receive its neighbors' state information w…