线性二次平均场控制:Hamilton矩阵和不变子空间方法
Linear-Quadratic Mean Field Control: The Hamiltonian Matrix and Invariant Subspace Method
摘要:
本文研究了具有均匀代理的线性二次平均场社会最优化问题解的存在唯一性。我们利用相关的常微分方程(ODE)系统的哈密顿矩阵结构,并应用子空间分解方法找到解决方案。该方法对解的存在性分析和数值计算都是有效的。我们进一步将分解方法推广到LQ平均场博弈。
英文摘要:
This paper studies the existence and uniqueness of a solution to linear quadratic (LQ) mean field social optimization problems with uniform agents. We exploit a Hamiltonian matrix structure of the associated ordinary differential equation (ODE) system and apply a subspace decomposition method to find the solution. This approach is effective for both the existence analysis and numerical computations. We further extend the decomposition method to LQ mean field games.
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