Limited Attention Allocation in a Stochastic Linear Quadratic System With Multiplicative Noise

Xiangyu Cui; Jianjun Gao; Lingjie Kong; Yun Shi

doi:10.1109/TAC.2024.3426889

Limited Attention Allocation in a Stochastic Linear Quadratic System With Multiplicative Noise

Xiangyu Cui
, Jianjun Gao
, Lingjie Kong
, Yun Shi^*

^*Corresponding author for this work

School of Statistics

Shanghai University of Finance and Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide an analytical optimal control and propose a numerical method for optimal attention allocation.

Original language	English
Pages (from-to)	8798-8803
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	69
Issue number	12
DOIs	https://doi.org/10.1109/TAC.2024.3426889
State	Published - 2024

Keywords

Factor model
limited attention allocation
linear quadratic (LQ) system

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10.1109/TAC.2024.3426889

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title = "Limited Attention Allocation in a Stochastic Linear Quadratic System With Multiplicative Noise",

abstract = "This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide an analytical optimal control and propose a numerical method for optimal attention allocation.",

keywords = "Factor model, limited attention allocation, linear quadratic (LQ) system",

author = "Xiangyu Cui and Jianjun Gao and Lingjie Kong and Yun Shi",

note = "Publisher Copyright: {\textcopyright} 2024 IEEE.",

year = "2024",

doi = "10.1109/TAC.2024.3426889",

language = "英语",

volume = "69",

pages = "8798--8803",

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publisher = "Institute of Electrical and Electronics Engineers Inc.",

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TY - JOUR

T1 - Limited Attention Allocation in a Stochastic Linear Quadratic System With Multiplicative Noise

AU - Cui, Xiangyu

AU - Gao, Jianjun

AU - Kong, Lingjie

AU - Shi, Yun

PY - 2024

Y1 - 2024

N2 - This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide an analytical optimal control and propose a numerical method for optimal attention allocation.

AB - This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide an analytical optimal control and propose a numerical method for optimal attention allocation.

KW - Factor model

KW - limited attention allocation

KW - linear quadratic (LQ) system

UR - https://www.scopus.com/pages/publications/85198352218

U2 - 10.1109/TAC.2024.3426889

DO - 10.1109/TAC.2024.3426889

M3 - 文章

AN - SCOPUS:85198352218

SN - 0018-9286

VL - 69

SP - 8798

EP - 8803

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 12

ER -

Limited Attention Allocation in a Stochastic Linear Quadratic System With Multiplicative Noise

Abstract

Keywords

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