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^*

^*此作品的通讯作者

统计学院

Shanghai University of Finance and Economics

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

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.

源语言	英语
页（从-至）	8798-8803
页数	6
期刊	IEEE Transactions on Automatic Control
卷	69
期	12
DOI	https://doi.org/10.1109/TAC.2024.3426889
出版状态	已出版 - 2024

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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.",

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AU - Cui, Xiangyu

AU - Gao, Jianjun

AU - Kong, Lingjie

AU - Shi, Yun

PY - 2024

Y1 - 2024

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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

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