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Conference Papers Year : 2010

Mean field limits for controlled system

Nicolas Gast


In this talk, I will explain how to extend classical mean field methods to study the control and the optimal control of large stochastic systems. I will first show that as the number of objects of the system grows, solving an optimal control problem for a stochastic system can be reduced to the solving of a deterministic optimization problem. Then, I will present how to study the limiting behavior of the controlled system using di fferential inclusions. In practice, this allows one to easily evaluate the performance of a policy and provide a way to asymptotically solve problems that used to be intractable. Some examples will be provided, illustrating these facts.
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inria-00597572 , version 1 (01-06-2011)


  • HAL Id : inria-00597572 , version 1


Nicolas Gast. Mean field limits for controlled system. NET-COOP 2010 - 4th Workshop on Network Control and Optimization, Nov 2010, Ghent, Belgium. ⟨inria-00597572⟩
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