On the optimal rate for the convergence problem in mean field control

The goal of this work is to obtain (nearly) optimal rates for the convergence problem in mean field control. Our analysis covers cases where the solutions to the limiting problem may not be unique nor stable. Equivalently the value function of the limiting problem might not be differentiable on the entire space. Our main result is then to derive sharp rates of convergence in two distinct regimes. First, when the data is sufficiently regular, we obtain rates proportional to N − 1 / 2 , with N being the number of particles, and we verify that N − 1 / 2 is indeed optimal in this setting. Second, when the data is merely Lipschitz and semi-concave with respect to the first Wasserstein distance, we obtain rates proportional to N − 2 / ( 3 d + 6 ) . We do not expect this second estimate to be optimal, but it improves substantially on the existing literature. Moreover, we construct an example showing that the optimal rate is no faster than N − 1 / d , and we conjecture that the optimal rate should indeed be exactly N − 1 / d (at least when d ≥ 3 ). The key argument in our approach consists in mollifying the value function of the limiting problem in order to produce functions that are almost classical sub-solutions to the limiting Hamilton-Jacobi equation (which is a PDE set on the space of probability measures). These sub-solutions can be projected onto finite dimensional spaces and then compared with the value functions associated with the particle systems. In the end, this comparison is used to prove the most demanding bound in the estimates. The key challenge therein is thus to exhibit an appropriate form of mollification. We do so by employing sup-convolution within a convenient functional Hilbert space. To make the whole easier, we limit ourselves to the periodic setting. We also provide some examples to show that our results are sharp up to some extent. • Nearly optimal rates for the convergence problem in mean field control. • Sharp rates of convergence in two distinct regimes: smooth coefficients, Lipschitz and semi-concave coefficients. • Proof based on sup-convolution within a convenient functional Hilbert space.