Discrete-time Mean-Field Stochastic Control with Partial Observations
Optimization and Control
2023-03-13 v1 Probability
Abstract
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach, we prove a verification result providing a solution to the optimal control of the filtered system. As an application, we study a general linear quadratic example for which an explicit solution is given. We also describe an algorithm for the numerical approximation of the optimal value and provide numerical experiments on a financial example.
Cite
@article{arxiv.2303.05563,
title = {Discrete-time Mean-Field Stochastic Control with Partial Observations},
author = {Jeremy Chichportich and Idris Kharroubi},
journal= {arXiv preprint arXiv:2303.05563},
year = {2023}
}