Numerical methods for mean-field type optimal control problems

zbMATH Open1386.90094arXiv1703.10001MaRDI QIDQ2955422FDOQ2955422

Authors: Laurent Pfeiffer 

Publication date: 13 January 2017

Abstract: In this article, two methods for solving mean-field type optimal control problems are proposed and investigated. The two methods are iterative methods: at each iteration, a Hamilton-Jacobi-Bellman equation is solved, for a terminal condition obtained by linearizing the cost function. The terminal condition is updated by solving a Fokker-Planck equation. The first method can be seen as a gradient method and uses in an essential manner the convexity of the set of probability distributions. A convergence result for this method is provided. The second method incorporates a penalization term and provides feedback controls. We test the methods on four academic examples.

Full work available at URL: https://arxiv.org/abs/1703.10001

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zbMATH Keywords

gradient methodsoptimality conditionssemi-Lagrangian schemesmean-field type control

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

Cited In (9)

• Optimality conditions in variational form for non-linear constrained stochastic control problems
• Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
• Mean field control hierarchy
• Numerical analysis for an optimal control of bidomain-bath model
• Numerical optimal control for problems with random forced SPDE constraints
• Numerical solution of mean field problem with limited management resource
• Dynamic programming for mean-field type control
• Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case
• Mean field type control with congestion. II: An augmented Lagrangian method

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