A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection

DOI10.3934/NACO.2022033zbMATH Open1518.49045arXiv2112.11059OpenAlexW4225710886MaRDI QIDQ6164094FDOQ6164094

Authors: Maximilien Germain, Huyên Pham, Xavier Warin 

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Abstract: We consider the control of McKean-Vlasov dynamics (or mean-field control) with probabilistic state constraints. We rely on a level-set approach which provides a representation of the constrained problem in terms of an unconstrained one with exact penalization and running maximum or integral cost. The method is then extended to the common noise setting. Our work extends (Bokanowski, Picarelli, and Zidani, SIAM J. Control Optim. 54.5 (2016), pp. 2568--2593) and (Bokanowski, Picarelli, and Zidani, Appl. Math. Optim. 71 (2015), pp. 125--163) to a mean-field setting. The reformulation as an unconstrained problem is particularly suitable for the numerical resolution of the problem, that is achieved from an extension of a machine learning algorithm from (Carmona, Lauri{`e}re, arXiv:1908.01613 to appear in Ann. Appl. Prob., 2019). A first application concerns the storage of renewable electricity in the presence of mean-field price impact and another one focuses on a mean-variance portfolio selection problem with probabilistic constraints on the wealth. We also illustrate our approach for a direct numerical resolution of the primal Markowitz continuous-time problem without relying on duality.

Full work available at URL: https://arxiv.org/abs/2112.11059

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zbMATH Keywords

neural networksstate constraintsmean-field controlprobabilistic constraintsMcKean-Vlasov dynamics

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Dynamic programming (90C39) Nonlinear parabolic equations (35K55) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Optimal stochastic control (93E20) Mean field games and control (49N80) Numerical methods in optimal control (49M99)

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