Mean-Field Control for Stochastic Delay Systems via Static Output Feedback Strategy

Abstract

In this paper, we consider mean-field control based on the static output feedback (SOF) strategy for stochastic delay systems. First, we define a stabilization problem via SOF gains in block-diagonal forms for systems with a single player, and then solve the problem of minimizing the upper bound of the cost function by cost-guaranteed cost control theory. For this problem, the necessary conditions for the sub-optimality are established using stochastic large-scale matrix equations. The obtained preliminary results are then used to study Pareto optimal strategies in cooperative games, for mean-field stochastic systems involving a large number of players. The primary contribution of this study is the derivation of a design method for decentralized strategies. Furthermore, a new low-order computational algorithm based on Newton's method is developed to obtain the decentralized strategy set. The cost degradation of the proposed decentralized SOF strategy set is then estimated. Finally, a simple numerical example is presented to demonstrate the usefulness and effectiveness of the proposed method. As a result, it is determined that the decentralized SOF strategy works well even when the number of players goes to infinity.