Vanishing viscosity in mean-field optimal control
arXiv:2111.13015 · doi:10.1051/cocv/2023024
Abstract
We show the existence of Lipschitz-in-space optimal controls for a class of mean-field control problems with dynamics given by a non-local continuity equation. The proof relies on a vanishing viscosity method: we prove the convergence of the same problem where a diffusion term is added, with a small viscosity parameter. By using stochastic optimal control, we first show the existence of a sequence of optimal controls for the problem with diffusion. We then build the optimizer of the original problem by letting the viscosity parameter go to zero.
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