ON THE TIME-INCONSISTENT DETERMINISTIC LINEAR-QUADRATIC CONTROL

被引：4
|
作者：
Cai, Hongyan [1 ]
Chen, Danhong [1 ]
Peng, Yunfei [1 ]
Wei, Wei [2 ]
机构：
[1] Guizhou Univ, Sch Math & Stat, Guiyang 550025, Peoples R China
[2] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2022年 / 60卷 / 02期
基金：
中国国家自然科学基金;
关键词：
time inconsistency; equilibrium control; intrapersonal game; linear-quadratic con; linear-quadratic con-trol; two-point boundary value problem; Riccati equation; CONSUMPTION;
D O I：
10.1137/21M1419611
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems, and Riccati equations. In this paper, we extend the equivalence to a general time-inconsistent deterministic LQ problem, where the inconsistency arises from nonexponential discount functions. By studying the solvability of the Riccati equation, we show the existence and uniqueness of the linear equilibrium for the time-inconsistent LQ problem.
引用
收藏
页码：968 / 991
页数：24
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