Deterministic Time-inconsistent Optimal Control Problems - an Essentially Cooperative Approach

作     者：Jiong-min YONG 

作者机构：Department of Mathematics University of Central Florida Orlando FL 32816 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2012年第28卷第1期

页      面：1-30页

核心收录：

学科分类：0711[理学-系统科学] 12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 08[工学] 070105[理学-运筹学与控制论] 081101[工学-控制理论与控制工程] 071101[理学-系统理论] 0811[工学-控制科学与工程] 081201[工学-计算机系统结构] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：supported in part by the NSF grant DMS-1007514 

主　　题：time-inconsistency pre-committed optimal control time-consistent equilibrium control multi-level hierarchical differential games 

摘      要：A general deterministic time-inconsistent optimal control problem is formulated for ordinary differential equations. To find a time-consistent equilibrium value function and the corresponding time-consistent equilibrium control, a non-cooperative N-person differential game （but essentially cooperative in some sense） is introduced. Under certain conditions, it is proved that the open-loop Nash equilibrium value function of the N-person differential game converges to a time-consistent equilibrium value function of the original problem, which is the value function of a time-consistent optimal control problem. Moreover, it is proved that any optimal control of the time-consistent limit problem is a time-consistent equilibrium control of the original problem.