Mean-field limit for a class of stochastic ergodic control problems

DOI10.1137/20M1363479zbMATH Open1483.49052arXiv2003.06469OpenAlexW3012550138WikidataQ114074157 ScholiaQ114074157MaRDI QIDQ5037500FDOQ5037500

Authors: Francesco C. De Vecchi, Andrea Romano, Stefania Ugolini, S. Albeverio 

Publication date: 1 March 2022

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

Abstract: We study a family of McKean-Vlasov (mean-field) type ergodic optimal control problems with linear control, and quadratic dependence on control of the cost function. For this class of problems we establish existence and uniqueness of an optimal control. We propose an $N$-particles Markovian optimal control problem approximating the McKean-Vlasov one and we prove the convergence in relative entropy, total variation and Wasserstein distance of the law of the former to the law of the latter when $N$ goes to infinity. Some McKean-Vlasov optimal control problems with singular cost function and the relation of these problems with the mathematical theory of Bose-Einstein condensation is also established.

Full work available at URL: https://arxiv.org/abs/2003.06469

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zbMATH Keywords

de Finetti's theoremmean-field controlMcKean-Vlasov limitergodic optimal controlconvergence of probability measures on path spacestrong Kac's chaos

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Linear optimal control problems (49N05) Mean field games and control (49N80)

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Cited In (21)

• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Ergodic behavior of control and mean field games problems depending on acceleration
• Extended mean field control problem: a propagation of chaos result
• Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. I: The ergodic case
• Limit theory for controlled McKean-Vlasov dynamics
• Disordered high-dimensional optimal control
• A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
• Some Connections Between Stochastic Mechanics, Optimal Control, and Nonlinear Schrödinger Equations
• Finite state \(N\)-agent and mean field control problems
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• Mean field Markov decision processes
• McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
• Mean-field optimal control as Gamma-limit of finite agent controls
• Performance bounds for the mean-field limit of constrained dynamics

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