Discrete time McKean-Vlasov control problem: a dynamic programming approach

DOI10.1007/S00245-016-9386-9zbMATH Open1360.49018arXiv1511.09273OpenAlexW2963617451MaRDI QIDQ520347FDOQ520347

Xiaoli Wei, Huyên Pham

Publication date: 3 April 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that dynamic programming principle holds in its general form. We apply our method for solving explicitly the mean-variance portfolio selection and the multivariate linear-quadratic McKean-Vlasov control problem.

Full work available at URL: https://arxiv.org/abs/1511.09273

Recommendations

• McKean-Vlasov optimal control: the dynamic programming principle
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
• Continuous time mean-variance portfolio optimization through the mean field approach
• Dynamic programming for mean-field type control
• Maximum principle for discrete-time stochastic control problem of mean-field type

zbMATH Keywords

dynamic programmingcalculus of variationsMcKean-Vlasov equationstochastic optimal control problemmean-variance portfolio selection

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cites Work

• Mean field games
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Linear-quadratic optimal control problems for mean-field stochastic differential equations
• Title not available (Why is that?)
• Control of McKean-Vlasov dynamics versus mean field games
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Mean Field Games and Mean Field Type Control Theory
• A general stochastic maximum principle for SDEs of mean-field type
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• A maximum principle for SDEs of mean-field type
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• The master equation in mean field theory
• Title not available (Why is that?)
• Dynamic programming for mean-field type control

Cited In (14)

• McKean-Vlasov optimal control: the dynamic programming principle
• Mean-field Markov decision processes with common noise and open-loop controls
• A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
• Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis
• Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
• Mean-Field Optimal Control and Optimality Conditions in the Space of Probability Measures
• Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,
• Discrete-time mean-field stochastic control with partial observations
• Mean Field Control and Mean Field Game Models with Several Populations
• A Tale of a Principal and Many, Many Agents
• A dynamic analytic method for risk-aware controlled martingale problems
• Quantitative propagation of chaos for mean field Markov decision process with common noise
• Mean field Markov decision processes
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

This page was built for publication: Discrete time McKean-Vlasov control problem: a dynamic programming approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q520347)