A Separation Principle for Conditional Mean-Field Type Linear Quadratic Optimal Control Problem
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866909971028901888 |
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| author | Guo, Zhongbin Wang, Guangchen |
| author_facet | Guo, Zhongbin Wang, Guangchen |
| contents | This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain enter into the dynamics and cost. The exact regime of Markov chain is accessible, whereas the system state can only be partially observed. A separation principle is established, showing that the estimate and control procedures can be separated and implemented independently. It extends the classical separation principle to conditional mean-field system. Utilizing two sets of Riccati equations and a set of first-order ordinary differential equations, we derive the feedback representation of the optimal control. To illustrate the effectiveness of the theoretical results, two applications with numerical simulations are provided, including a one-dimensional LQ example and a coupled electrical machines control problem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_17572 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Separation Principle for Conditional Mean-Field Type Linear Quadratic Optimal Control Problem Guo, Zhongbin Wang, Guangchen Optimization and Control This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain enter into the dynamics and cost. The exact regime of Markov chain is accessible, whereas the system state can only be partially observed. A separation principle is established, showing that the estimate and control procedures can be separated and implemented independently. It extends the classical separation principle to conditional mean-field system. Utilizing two sets of Riccati equations and a set of first-order ordinary differential equations, we derive the feedback representation of the optimal control. To illustrate the effectiveness of the theoretical results, two applications with numerical simulations are provided, including a one-dimensional LQ example and a coupled electrical machines control problem. |
| title | A Separation Principle for Conditional Mean-Field Type Linear Quadratic Optimal Control Problem |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2512.17572 |