Mean field limits for controlled system

Nicolas Gast 1
1 MESCAL - Middleware efficiently scalable
Inria Grenoble - Rhône-Alpes, LIG - Laboratoire d'Informatique de Grenoble
Abstract : 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.
Type de document :
Communication dans un congrès
NET-COOP 2010 - 4th Workshop on Network Control and Optimization, Nov 2010, Ghent, Belgium. 2010
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https://hal.inria.fr/inria-00597572
Contributeur : Service Ist Inria Sophia Antipolis-Méditerranée / I3s <>
Soumis le : mercredi 1 juin 2011 - 13:54:44
Dernière modification le : jeudi 11 janvier 2018 - 06:21:39

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  • HAL Id : inria-00597572, version 1

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

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