Schrödinger Approach to Optimal Control of Large-Size Populations

Large-size populations consisting of a continuum of identical and noncooperative agents with stochastic dynamics are useful in modeling various biological and engineered systems. This article addresses the stochastic control problem of designing optimal state-feedback controllers that 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 partial differential equations as decoupled Schrödinger equations, by applying two variable transforms. Spectral properties of the linear Schrödinger operator that underlie the stability analysis are used to obtain explicit control design constraints. Our interpretation of the Schrödinger potential as the cost function of a closely related optimal control problem motivates a quadrature based algorithm to compute the finite-time optimal control.