Deep Learning for Population-Dependent Controls in Mean Field Control Problems with Common Noise

Abstract: In this paper, we propose several approaches to learn the optimal population-dependent controls in order to solve mean field control problems (MFC). Such policies enable us to solve MFC problems with forms of common noises at a level of generality that was not covered by existing methods. We analyze rigorously the theoretical convergence of the proposed approximation algorithms. Of particular interest for its simplicity of implementation is the $N$-particle approximation. The effectiveness and the flexibility of our algorithms is supported by numerical experiments comparing several combinations of distribution approximation techniques and neural network architectures. We use three different benchmark problems from the literature: a systemic risk model, a price impact model, and a crowd motion model. We first show that our proposed algorithms converge to the correct solution in an explicitly solvable MFC problem. Then, we show that population-dependent controls outperform state-dependent controls. Along the way, we show that specific neural network architectures can improve the learning further.