A Mean Field Approach for Optimization in Particles Systems and Applications (0903.2352v3)

Abstract: This paper investigates the limit behavior of Markov Decision Processes (MDPs) made of independent particles evolving in a common environment, when the number of particles goes to infinity. In the finite horizon case or with a discounted cost and an infinite horizon, we show that when the number of particles becomes large, the optimal cost of the system converges almost surely to the optimal cost of a discrete deterministic system (the ``optimal mean field''). Convergence also holds for optimal policies. We further provide insights on the speed of convergence by proving several central limits theorems for the cost and the state of the Markov decision process with explicit formulas for the variance of the limit Gaussian laws. Then, our framework is applied to a brokering problem in grid computing. The optimal policy for the limit deterministic system is computed explicitly. Several simulations with growing numbers of processors are reported. They compare the performance of the optimal policy of the limit system used in the finite case with classical policies (such as Join the Shortest Queue) by measuring its asymptotic gain as well as the threshold above which it starts outperforming classical policies.