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

• 成果类型: Article
• 署名作者: Cui, Xiangyu; Gao, Jianjun; Kong, Lingjie; Shi, Yun
• 署名单位: Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; East China Normal University
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2024.3426889
• 发表日期: 2024
• 页码: 8798-8803
• 关键词: Resource management; control systems; finance; linear programming; Covariance matrices; Signal to noise ratio; sentiment analysis; factor model; limited attention allocation; linear quadratic (LQ) system

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.