Risk-Aware Finite-Horizon Social Optimal Control of Mean-Field Coupled Linear-Quadratic Subsystems
<|reference_start|>Risk-Aware Finite-Horizon Social Optimal Control of Mean-Field Coupled Linear-Quadratic Subsystems: We formulate and solve an optimal control problem with cooperative, mean-field coupled linear-quadratic subsystems and additional risk-aware costs depending on the covariance and skew of the disturbance. This problem quantifies the variability of the subsystem state energy rather than merely its expectation. In contrast to related work, we develop an alternative approach that illuminates a family of matrices with many analytical properties, which are useful for effectively extracting the mean-field coupled solution from a standard LQR solution.<|reference_end|>
@article{patel2024risk-aware,
    title={Risk-Aware Finite-Horizon Social Optimal Control of Mean-Field Coupled
  Linear-Quadratic Subsystems},
    author={Dhairya Patel and Margaret Chapman},
    journal={arXiv preprint arXiv:2406.05239},
    year={2024},
    archivePrefix={arXiv},
    eprint={2406.05239},
    primaryClass={eess.SY cs.SY math.OC}
}