Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
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Publication:832629
DOI10.1007/S00245-021-09817-0zbMATH Open1486.49045arXiv2012.15468OpenAlexW3196589405MaRDI QIDQ832629FDOQ832629
Authors: Xuwei Yang, M. Y. Huang 
Publication date: 25 March 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2012.15468
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Dynamic programming (90C39) Linear-quadratic optimal control problems (49N10) Large-scale systems (93A15) Optimal stochastic control (93E20)
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Cited In (17)
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- 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
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- Mean field LQG social optimization: a reinforcement learning approach
- Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty
- Discrete‐time mean field social control with a major agent
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