On a mean field optimal control problem
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Publication:2199977
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) A priori estimates in context of PDEs (35B45) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Second-order parabolic equations (35K10) Fokker-Planck equations (35Q84) PDEs in connection with control and optimization (35Q93) (n)-person games, (n>2) (91A06) Control/observation systems governed by partial differential equations (93C20) Mean field games (aspects of game theory) (91A16)
Abstract: In this paper we consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a Hamilton-Jacobi and a Fokker-Planck equation, describing the optimal control aspect of the problem and the evolution of the population of agents, respectively. The main contribution of the paper is a result on the existence of solutions for the aforementioned system. We notice this model is in close connection with the theory of mean-field games systems. However, a distinctive feature concerns the nonlocal character of the interaction; it affects the drift term in the Fokker-Planck equation as well as the Hamiltonian of the system, leading to new difficulties to be addressed.
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Cited in
(13)- Mean-field control and Riccati equations
- Pseudospectral methods and iterative solvers for optimization problems from multiscale particle dynamics
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- Mean-field optimal control as Gamma-limit of finite agent controls
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