Viscosity Solutions for McKean–Vlasov Control on a Torus

DOI10.1137/22M1543732arXiv2212.11053OpenAlexW4392471145MaRDI QIDQ6191411

Unnamed Author, Halil Mete Soner

Publication date: 7 March 2024

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: An optimal control problem in the space of probability measures, and the viscosity solutions of the corresponding dynamic programming equations defined using the intrinsic linear derivative are studied. The value function is shown to be Lipschitz continuous with respect to a novel smooth Fourier Wasserstein metric. A comparison result between the Lipschitz viscosity sub and super solutions of the dynamic programming equation is proved using this metric, characterizing the value function as the unique Lipschitz viscosity solution.

Full work available at URL: https://arxiv.org/abs/2212.11053

zbMATH Keywords

Wasserstein metricviscosity solutionsmean-field gamesMcKean-Vlasov

Mathematics Subject Classification ID

Stochastic programming (90C15) PDEs in connection with optics and electromagnetic theory (35Q60) Stochastic processes (60G99) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) PDEs in connection with mean field game theory (35Q89)

Cites Work

• Unnamed Item
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• Mean field games
• Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
• McKean-Vlasov optimal control: the dynamic programming principle
• Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Controlled Markov processes and viscosity solutions
• Stochastic Optimal Control in Infinite Dimension
• Bellman equation and viscosity solutions for mean-field stochastic control problem
• Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
• Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• The Master Equation and the Convergence Problem in Mean Field Games
• Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
• Probabilistic Theory of Mean Field Games with Applications II
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
• Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures
• Synchronization in a Kuramoto mean field game

Related Items (3)

Viscosity solutions of the eikonal equation on the Wasserstein space ⋮ On the optimal rate for the convergence problem in mean field control ⋮ Propagation of chaos for mean field Schrödinger problems

This page was built for publication: Viscosity Solutions for McKean–Vlasov Control on a Torus