The optimal rate of convergence in mean field control via recoupled shadow flows

Abstract

We determine the rate of convergence of the value functions of the $N$-particle stochastic optimal control problem to the value function of the corresponding mean field control problem, for mean field costs that are merely Lipschitz continuous in the 1-Wasserstein distance, a class that covers problems whose mean field optimizers are neither unique nor stable. For $d\ge 2$, the optimal rate is the empirical-measure rate ($N^{-1/d}$ for $d\ge 3$, $N^{-1/2}\sqrt{\log N}$ for $d=2$): this proves the rate conjectured by Daudin, Delarue and Jackson, and removes the semiconcavity hypothesis made there. In dimension one, we discover that the empirical-measure benchmark is not optimal: cooperating particles beat it, and the optimal polynomial exponent is $4/7$, strictly between the accuracy of independent samples and that of quantization by freely placed points. The proofs are control-theoretic: from each realization of an $N$-particle control we build a pathwise Fokker-Planck flow (a "shadow flow") which, repeatedly recoupled to the particles by optimal transport, shadows the empirical measure at the optimal rate. The one-dimensional rate requires additional constructions: we correct the shadow flow with a filter built on the future of the discarded noise, draw the cooperating particles from a Gibbs law, and prove the optimality of the exponent by a Schrodinger ground-state estimate. The empirical-measure rate also holds under additive common noise, uniformly in its intensity.

v2: Expanded and improved exposition in Section 6; the future filter construction is now motivated in detail. Minor edits elsewhere. Results unchanged