On the distributed mean-variance paradigm

Alain Tcheukam Siwe; Hamidou Tembine

doi:10.1109/SSD.2016.7473660

On the distributed mean-variance paradigm

Alain Tcheukam Siwe, Hamidou Tembine

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

In this paper we study the distributed mean-variance paradigm with linear state dynamics of mean-field type in discrete time and several control inputs. The goal is to reduce the variance and the mean of the state in a fully distributed manner. We formulate and explicit solve the problem using recent development of mean-field-type games. We show that there is unique best response strategy to the mean of the state and provide a simple sufficient condition of existence and uniqueness of mean-field equilibrium. We also provide a closed-form expression of the global optimum as a state-and-mean-field feedback strategy.

Original language	English (US)
Title of host publication	13th International Multi-Conference on Systems, Signals and Devices, SSD 2016
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	607-612
Number of pages	6
ISBN (Electronic)	9781509012916
DOIs	https://doi.org/10.1109/SSD.2016.7473660
State	Published - May 18 2016
Event	13th International Multi-Conference on Systems, Signals and Devices, SSD 2016 - Leipzig, Germany Duration: Mar 21 2016 → Mar 24 2016

Publication series

Name	13th International Multi-Conference on Systems, Signals and Devices, SSD 2016

Other

Other	13th International Multi-Conference on Systems, Signals and Devices, SSD 2016
Country/Territory	Germany
City	Leipzig
Period	3/21/16 → 3/24/16

ASJC Scopus subject areas

Signal Processing
Control and Systems Engineering
Energy Engineering and Power Technology
Control and Optimization
Computer Networks and Communications
Instrumentation

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10.1109/SSD.2016.7473660

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On the distributed mean-variance paradigm. / Siwe, Alain Tcheukam; Tembine, Hamidou.
13th International Multi-Conference on Systems, Signals and Devices, SSD 2016. Institute of Electrical and Electronics Engineers Inc., 2016. p. 607-612 7473660 (13th International Multi-Conference on Systems, Signals and Devices, SSD 2016).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Siwe, AT & Tembine, H 2016, On the distributed mean-variance paradigm. in 13th International Multi-Conference on Systems, Signals and Devices, SSD 2016., 7473660, 13th International Multi-Conference on Systems, Signals and Devices, SSD 2016, Institute of Electrical and Electronics Engineers Inc., pp. 607-612, 13th International Multi-Conference on Systems, Signals and Devices, SSD 2016, Leipzig, Germany, 3/21/16. https://doi.org/10.1109/SSD.2016.7473660

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On the distributed mean-variance paradigm

Abstract

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