Optimal control and stabilization for linear mean‐field system with indefinite quadratic cost functional

Abstract

AbstractIn this paper, we consider an optimal control and stabilization problem of linear mean‐field (MF) system, where the quadratic cost functional is allowed to be indefinite. Inspired by the equivalent cost functional method, we introduce a subset, which helps us to investigate the convergence property of generalized differential Riccati equations arising in indefinite mean‐field linear quadratic (MF‐LQ) problems with finite horizon. A coupled generalized algebraic Riccati equation (GARE) is thus obtained. More importantly, the solution pair of corresponding GARE can be decomposed into a solution pair of a coupled standard algebraic Riccati equation (SARE) and a matrix pair in the subset we introduce. Thus, an equivalent relationship is established between GARE and SARE. With this equivalence, we derive necessary and sufficient conditions to stabilize linear MF‐system with indefinite weighting matrices in mean‐square sense.