Discrete-Time Mean-Field Stochastic Control with Partial Observations

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...

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Veröffentlicht in:Applied mathematics & optimization 2023-12, Vol.88 (3), p.90, Article 90
Hauptverfasser: Chichportich, Jeremy, Kharroubi, Idris
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description 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 consider 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.
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subjects Algorithms
Applied mathematics
Approximation
Calculus of Variations and Optimal Control
Optimization
Control
Dynamic programming
Dynamical systems
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematics
Mathematics and Statistics
Numerical and Computational Physics
Optimal control
Optimization
Random variables
Simulation
Stochastic processes
Systems Theory
Theoretical
title Discrete-Time Mean-Field Stochastic Control with Partial Observations
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