We examine mean field control problems on a finite state space, in continuous time and over a finite time horizon. We characterize the value function of the mean field control problem as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation in the simplex. In absence of any convexity assumption, we exploit this characterization to prove convergence, as N grows, of the value functions of the centralized N-agent optimal control problem to the limit mean field control problem value function, with a convergence rate of order 1/root N. Then, assuming convexity, we show that the limit value function is smooth and establish propagation of chaos, i.e. convergence of the N-agent optimal trajectories to the unique limiting optimal trajectory, with an explicit rate.

Finite state N-agent and mean field control problems

Cecchin, Alekos
2021

Abstract

We examine mean field control problems on a finite state space, in continuous time and over a finite time horizon. We characterize the value function of the mean field control problem as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation in the simplex. In absence of any convexity assumption, we exploit this characterization to prove convergence, as N grows, of the value functions of the centralized N-agent optimal control problem to the limit mean field control problem value function, with a convergence rate of order 1/root N. Then, assuming convexity, we show that the limit value function is smooth and establish propagation of chaos, i.e. convergence of the N-agent optimal trajectories to the unique limiting optimal trajectory, with an explicit rate.
2021
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/3442220
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