A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
From MaRDI portal
Publication:6164094
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)
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.
Recommendations
- Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,
- Partially observable stochastic optimal control problems for an energy storage
- A level set approach for the solution of a state-constrained optimal control problem
- scientific article; zbMATH DE number 279603
- Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems
- McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
- Benchmarking a scalable approximate dynamic programming algorithm for stochastic control of grid-level energy storage
- Discrete time McKean-Vlasov control problem: a dynamic programming approach
Cites work
- A Pontryagin maximum principle in Wasserstein spaces for constrained optimal control problems
- A deep learning model for gas storage optimization
- A general Hamilton-Jacobi framework for non-linear state-constrained control problems
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- An extended mean field game for storage in smart grids
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
- Convex Analysis
- DeepSets and their derivative networks for solving symmetric PDEs
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Dynamic programming for mean-field type control
- Existence and uniqueness for mean field games with state constraints
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Maximum principle for delayed stochastic mean-field control problem with state constraint
- McKean-Vlasov optimal control: the dynamic programming principle
- Mean field games with state constraints: from mild to pointwise solutions of the PDE system
- Mean-field leader-follower games with terminal state constraint
- Necessary optimality conditions for optimal control problems in Wasserstein spaces
- Nonsmooth mean field games with state constraints
- On dynamic programming principle for stochastic control under expectation constraints
- Optimal control of diffusion processes with terminal constraint in law
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space
- Optimal control under stochastic target constraints
- Optimal management of pumped hydroelectric production with state constrained optimal control
- Optimistic planning algorithms for state-constrained optimal control problems
- Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
- Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
- Quenched mass transport of particles toward a target
- State-constrained stochastic optimal control problems via reachability approach
- Statistical learning for probability-constrained stochastic optimal control
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Zero-sum stochastic differential games of generalized McKean-Vlasov type
This page was built for publication: A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6164094)
