Convergence rates of a discrete feedback control arising in mean-field linear quadratic optimal control problems

Abstract

In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original problem into two problems: a stochastic LQ problem and a deterministic one. Secondly, we discretize both LQ problems one after another relying on Riccati equations and control's feedback representations. Then, we prove the convergence rates for the proposed discretization and present an effective algorithm. Finally, a numerical example is provided to support the theoretical finding.