Deterministic Time-inconsistent Optimal Control Problems - an Essentially Cooperative Approach
查看参考文献25篇
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文摘
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A general deterministic time-inconsistent optimal control problem is formulated for ordinary differential equations. To find a time-consistent equilibrium value function and the corresponding time-consistent equilibrium control, a non-cooperative N-person differential game (but essentially cooperative in some sense) is introduced. Under certain conditions, it is proved that the open-loop Nash equilibrium value function of the N -person differential game converges to a time-consistent equilibrium value function of the original problem, which is the value function of a time-consistent optimal control problem. Moreover, it is proved that any optimal control of the time-consistent limit problem is a time-consistent equilibrium control of the original problem. |
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来源
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Acta Mathematicae Applicatae Sinica-English Series
,2012,28(1):1-30 【核心库】
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DOI
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10.1007/s10255-012-0120-3
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关键词
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time-inconsistency
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pre-committed optimal control
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time-consistent equilibrium control
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multi-level hierarchical differential games
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地址
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Department of Mathematics, University of Central Florida, Orlando, 32816
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语种
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英文 |
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文献类型
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研究性论文 |
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ISSN
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0168-9673 |
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学科
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数学 |
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基金
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Supported in part by the NSF grant
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文献收藏号
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CSCD:4499542
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