Numerical Methods for Mean-Field-Type Optimal Control Problems

zbMath1386.90094arXiv1703.10001MaRDI QIDQ2955422

Laurent Pfeiffer

Publication date: 13 January 2017

Full work available at URL: https://arxiv.org/abs/1703.10001

zbMATH Keywords

optimality conditionsgradient methodssemi-Lagrangian schemesmean-field type control

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

Related Items (3)

Optimality conditions in variational form for non-linear constrained stochastic control problems ⋮ Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case ⋮ Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case

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