Schr\"odinger Approach to Optimal Control of Large-Size Populations

Abstract

Large-size populations consisting of a continuum of identical and non-cooperative agents with stochastic dynamics are useful in modeling various biological and engineered systems. This paper addresses the stochastic control problem of designing optimal state-feedback controllers which guarantee the closed-loop stability of the stationary density of such agents with nonlinear Langevin dynamics, under the action of their individual steady state controls. We represent the corresponding coupled forward-backward PDEs as decoupled Schr\"odinger equations, by applying two variable transforms. Spectral properties of the linear Schr\"odinger operator which underlie the stability analysis are used to obtain explicit control design constraints. Our interpretation of the Schr\"odinger potential as the cost function of a closely related optimal control problem motivates a quadrature based algorithm to compute the finite-time optimal control.