论文标题
部分可观测时空混沌系统的无模型预测
Principal-Multiagents problem under equivalent changes of measure: general study and an existence result
论文作者
论文摘要
储层计算是预测湍流的有力工具，其简单的架构具有处理大型系统的计算效率。然而，其实现通常需要完整的状态向量测量和系统非线性知识。我们使用非线性投影函数将系统测量扩展到高维空间，然后将其输入到储层中以获得预测。我们展示了这种储层计算网络在时空混沌系统上的应用，该系统模拟了湍流的若干特征。我们表明，使用径向基函数作为非线性投影器，即使只有部分观测并且不知道控制方程，也能稳健地捕捉复杂的系统非线性。最后，我们表明，当测量稀疏、不完整且带有噪声，甚至控制方程变得不准确时，我们的网络仍然可以产生相当准确的预测，从而为实际湍流系统的无模型预测铺平了道路。
We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump measure. In this setting, we generalize the dynamic programming approach developed by Cvitanić, Possamaï, and Touzi [12] and we also relax their assumptions. We prove that the problem of the principal can be reformulated as a standard stochastic control problem in which she controls the continuation utility (or certainty equivalent) processes of the agents. Our assumptions and conditions on the admissible contracts are minimal to make our approach work. We review part of the literature and give examples on how they are usually satisfied. We also present a smoothness result for the value function of a risk-neutral principal when the agents have exponential utility functions. This leads, under some additional assumptions, to the existence of an optimal contract.
