Calculus of Variations and Geometric Measure Theory
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M. Fornasier - F. Solombrino

Mean Field Optimal Control

created by solombrin on 04 Jul 2013
modified on 27 Aug 2014

[BibTeX]

Published Paper

Inserted: 4 jul 2013
Last Updated: 27 aug 2014

Journal: ESAIM: Control, Optimization and Calculus of Variations
Year: 2014
Doi: 10.1051/cocv/2014009

Abstract:

In this paper we introduce the concept of mean-field optimal control which is the rigorous limit process connecting finite dimensional optimal control problems with ODE constraints modeling multi-agent interactions to an infinite dimensional optimal control problem with a constraint given by a PDE of Vlasov-type, governing the dynamics of the probability distribution of interacting agents. While in the classical mean-field theory one studies the behavior of a large number of small individuals freely interacting with each other, by simplifying the effect of all the other individuals on any given individual by a single averaged effect, we address the situation where the individuals are actually influenced also by an external policy maker, and we propagate its effect for the number N of individuals going to infinity. In order to develop this new concept of limit rigorously, we need to carefully combine the classical concept of mean-field limit, connecting the finite dimensional system of ODE describing the dynamics of each individual of the group to the PDE describing the dynamics of the respective probability distribution, with the well-known concept of Gamma-convergence to show that optimal strategies for the finite dimensional problems converge to optimal strategies of the infinite dimensional problem.

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