Quantitative propagation of chaos for mean field Markov decision process with common noise
نویسندگان
چکیده
We investigate propagation of chaos for mean field Markov Decision Process with common noise (CMKV-MDP), and when the optimization is performed over randomized open-loop controls on infinite horizon. first state a rate convergence order MNγ, where MN in Wasserstein distance empirical measure, γ ∈ (0,1] an explicit constant, limit value functions N-agent control problem asymmetric controls, towards function CMKV-MDP. Furthermore, we show how to explicitly construct (ϵ+O(MNγ))-optimal policies model from ϵ-optimal Our approach relies sharp comparison between Bellman operators CMKV-MDP, fine coupling measures.
منابع مشابه
Mean Field Limit and Propagation of Chaos for Vlasov Systems with Bounded Forces
We consider large systems of particles interacting through rough but bounded interaction kernels. We are able to control the relative entropy between the N-particle distribution and the expected limit which solves the corresponding Vlasov system. This implies the Mean Field limit to the Vlasov system together with Propagation of Chaos through the strong convergence of all the marginals. The met...
متن کاملMean Field Asymptotic of Markov Decision Evolutionary Games and Teams
We introduce Markov Decision Evolutionary Games with N players, in which each individual in a large population interacts with other randomly selected players. The states and actions of each player in an interaction together determine the instantaneous payoff for all involved players. They also determine the transition probabilities to move to the next state. Each individual wishes to maximize t...
متن کاملMarkov Transitions and the Propagation of Chaos
The propagation of chaos is a central concept of kinetic theory that serves to relate the equations of Boltzmann and Vlasov to the dynamics of many-particle systems. Propagation of chaos means that molecular chaos, i.e., the stochastic independence of two random particles in a many-particle system, persists in time, as the number of particles tends to infinity. We establish a necessary and suff...
متن کاملIncreasing propagation of chaos for mean eld models
Let (N) denote a mean-eld measure with potential F. Asymptotic independence properties of the measure (N) are investigated. In particular, with H(j) denoting relative entropy, if there exists a unique non{degenerate minimum of H(j) ? F(), then propagation of chaos holds for blocks of size o(N). Certain degenerate situations are also studied. The results are applied for the Langevin dynamics of ...
متن کاملanalysis of ruin probability for insurance companies using markov chain
در این پایان نامه نشان داده ایم که چگونه می توان مدل ریسک بیمه ای اسپیرر اندرسون را به کمک زنجیره های مارکوف تعریف کرد. سپس به کمک روش های آنالیز ماتریسی احتمال برشکستگی ، میزان مازاد در هنگام برشکستگی و میزان کسری بودجه در زمان وقوع برشکستگی را محاسبه کرده ایم. هدف ما در این پایان نامه بسیار محاسباتی و کاربردی تر از روش های است که در گذشته برای محاسبه این احتمال ارائه شده است. در ابتدا ما نشا...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2023
ISSN: ['1083-6489']
DOI: https://doi.org/10.1214/23-ejp978