DIFFUSION APPROXIMATIONS FOR CONTROLLED WEAKLY INTERACTING LARGE FINITE STATE SYSTEMS WITH SIMULTANEOUS JUMPS

作者：Budhiraja Amarjit^*; Friedlander Eric

来源：Annals of Applied Probability, 2018, 28(1): 204-249.

DOI：10.1214/17-AAP1303

• Mean field approximations
• diffusion approximations
• asymptotic optimality
• stochastic networks
• stochastic control
• propagation of chaos
• rate control
• ad hoc wireless networks

We consider a rate control problem for an N-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state simultaneously. Such models have been proposed for large communication systems (e.g., ad hoc wireless networks) but are also suitable for other settings such as chemical-reaction networks. An associated diffusion control problem is presented and we show that the value function of the N-particle controlled system converges to the value function of the limit diffusion control problem as N -> infinity. The diffusion coefficient in the limit model is typically degenerate; however, under suitable conditions there is an equivalent formulation in terms of a controlled diffusion with a uniformly nondegenerate diffusion coefficient. Using this equivalence, we show that near optimal continuous feedback controls exist for the diffusion control problem. We then construct near asymptotically optimal control policies for the N-particle system based on such continuous feedback controls. Results from some numerical experiments are presented.

• 出版日期2018-2