Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
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Abstract: This paper studies asymptotic solvability of a linear quadratic (LQ) mean field social optimization problem with controlled diffusions and indefinite state and control weights. Starting with an -agent model, we employ a rescaling approach to derive a low-dimensional Riccati ordinary differential equation (ODE) system, which characterizes a necessary and sufficient condition for asymptotic solvability. The decentralized control obtained from the mean field limit ensures a bounded optimality loss in minimizing the social cost having magnitude , which implies an optimality loss of per agent. We further quantify the efficiency gain of the social optimum with respect to the solution of the mean field game.
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Cited in
(17)- Discrete‐time mean field social control with a major agent
- Linear quadratic mean field social control with common noise: a directly decoupling method
- Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies
- Decentralized social-optimal solution of finite number of average field linear quadratic control
- Mean field production output control with sticky prices: Nash and social solutions
- Mean field linear-quadratic control: uniform stabilization and social optimality
- Decomposition and mean-field approach to mixed integer optimal compensation problems
- Social optima of backward linear-quadratic-Gaussian mean-field teams
- Linear quadratic mean field games: decentralized \(O(1/N)\)-Nash equilibria
- Linear quadratic mean field games with a major player: the multi-scale approach
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- Discrete-time indefinite linear-quadratic mean field games and control: the finite-population case
- Mean field LQG social optimization: a reinforcement learning approach
- Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty
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