Numerical Methods for Mean-Field-Type Optimal Control Problems
Optimization and Control
2017-03-30 v1
Abstract
In this article, two methods for solving mean-field type optimal control problems are proposed and investigated. The two methods are iterative methods: at each iteration, a Hamilton-Jacobi-Bellman equation is solved, for a terminal condition obtained by linearizing the cost function. The terminal condition is updated by solving a Fokker-Planck equation. The first method can be seen as a gradient method and uses in an essential manner the convexity of the set of probability distributions. A convergence result for this method is provided. The second method incorporates a penalization term and provides feedback controls. We test the methods on four academic examples.
Cite
@article{arxiv.1703.10001,
title = {Numerical Methods for Mean-Field-Type Optimal Control Problems},
author = {Laurent Pfeiffer},
journal= {arXiv preprint arXiv:1703.10001},
year = {2017}
}