On the distributed mean-variance paradigm

Alain Tcheukam Siwe, Hamidou Tembine

Research output: Chapter in Book/Report/Conference proceedingConference 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 languageEnglish (US)
Title of host publication13th International Multi-Conference on Systems, Signals and Devices, SSD 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages607-612
Number of pages6
ISBN (Electronic)9781509012916
DOIs
StatePublished - May 18 2016
Event13th International Multi-Conference on Systems, Signals and Devices, SSD 2016 - Leipzig, Germany
Duration: Mar 21 2016Mar 24 2016

Publication series

Name13th International Multi-Conference on Systems, Signals and Devices, SSD 2016

Other

Other13th International Multi-Conference on Systems, Signals and Devices, SSD 2016
CountryGermany
CityLeipzig
Period3/21/163/24/16

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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    Siwe, A. T., & Tembine, H. (2016). On the distributed mean-variance paradigm. In 13th International Multi-Conference on Systems, Signals and Devices, SSD 2016 (pp. 607-612). [7473660] (13th International Multi-Conference on Systems, Signals and Devices, SSD 2016). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/SSD.2016.7473660