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arXiv · 2212.01719

Deep Galerkin Method for Mean Field Control Problem

Jingruo Sun
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Abstract

We consider an optimal control problem where the average welfare of weakly interacting agents is of interest. We examine the mean-field control problem as the fluid approximation of the N-agent control problem with the setup of finite-state space, continuous-time, and finite-horizon. The value function of the mean-field control problem is characterized as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation in the simplex. We apply the DGM to estimate the value function and the evolution of the distribution. We also prove the numerical solution approximated by a neural network converges to the analytical solution.

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Jingruo Sun. 2022-12-04. Deep Galerkin Method for Mean Field Control Problem. https://arxiv.org/abs/2212.01719

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