A decentralized algorithm for a mean field control problem of piecewise deterministic Markov processes
Adrien Séguret,
Thomas Le Corre,
Nadia Oudjane
Abstract:This paper provides a decentralized approach for the control of a population of N agents to minimize an aggregate cost. Each agent evolves independently according to a Piecewise Deterministic Markov dynamics controlled via unbounded jumps intensities. The N-agent high dimensional stochastic control problem is approximated by the limiting mean field control problem. A Lagrangian approach is proposed. Although the mean field control problem is not convex, it is proved to achieve zero duality gap. A stochastic ve… Show more
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