Diffusion approximations for controlled weakly interacting large finite state systems with simultaneous jumps

DOI10.1214/17-AAP1303MaRDI QIDQ1751966zbMATH OpenOpenAlexWikidataFDO

Authors Amarjit Budhiraja, Eric M. Friedlander

Publication date 25 May 2018

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.09001

zbMATH Keywords

ad hoc wireless networksasymptotic optimalitydiffusion approximationsmean field approximationspropagation of chaosrate controlstochastic controlstochastic networks

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Queueing theory (aspects of probability theory) (60K25) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Abstract: We consider a rate control problem for an $N$-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state simultaneously. Such models have been proposed for large communication systems (e.g. ad hoc wireless networks) but are also suitable for other settings such as chemical-reaction networks. An associated diffusion control problem is presented and we show that the value function of the $N$-particle controlled system converges to the value function of the limit diffusion control problem as $Noinfty$. The diffusion coefficient in the limit model is typically degenerate, however under suitable conditions there is an equivalent formulation in terms of a controlled diffusion with a uniformly non-degenerate diffusion coefficient. Using this equivalence, we show that near optimal continuous feedback controls exist for the diffusion control problem. We then construct near asymptotically optimal control policies for the $N$-particle system based on such continuous feedback controls. Results from some numerical experiments are presented.

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Cited in

(5)

• Irreducibility and asymptotics of stochastic Burgers equation driven by \(\alpha \)-stable processes
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• On the control of density-dependent stochastic population processes with time-varying behavior
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