Distributed Estimation and Control for Large Population Stochastic Multi-Agent Systems with Coupling in the Measurements

In this paper, we investigate a class of large population stochastic multi-agent systems where the agents have linear stochastic dynamics and are coupled via their measurement equations. Using the state aggregation technique, we propose a distributed estimation and control algorithm that combines the Kalman filtering for state estimation and the linear-quadratic-Gaussian (LQG) feedback controller. Moreover, the stability analysis in terms of exponential boundedness in the mean square is given for the proposed algorithm.