The Master Equation for Large Population Equilibriums

We use a simple N-player stochastic game with idiosyncratic and common noises to introduce the concept of Master Equation originally proposed by Lions in his lectures at the Coll\`ege de France. Controlling the limit N tends to the infinity of the explicit solution of the N-player game, we highlight the stochastic nature of the limit distributions of the states of the players due to the fact that the random environment does not average out in the limit, and we recast the Mean Field Game (MFG) paradigm in a set of coupled Stochastic Partial Differential Equations (SPDEs). The first one is a forward stochastic Kolmogorov equation giving the evolution of the conditional distributions of the states of the players given the common noise. The second is a form of stochastic Hamilton Jacobi Bellman (HJB) equation providing the solution of the optimization problem when the flow of conditional distributions is given. Being highly coupled, the system reads as an infinite dimensional Forward Backward Stochastic Differential Equation (FBSDE). Uniqueness of a solution and its Markov property lead to the representation of the solution of the backward equation (i.e. the value function of the stochastic HJB equation) as a deterministic function of the solution of the forward Kolmogorov equation, function which is usually called the decoupling field of the FBSDE. The (infinite dimensional) PDE satisfied by this decoupling field is identified with the \textit{master equation}. We also show that this equation can be derived for other large populations equilibriums like those given by the optimal control of McKean-Vlasov stochastic differential equations. The paper is written more in the style of a review than a technical paper, and we spend more time and energy motivating and explaining the probabilistic interpretation of the Master Equation, than identifying the most general set of assumptions under which our claims are true

Smooth Approximation of Lipschitz functions on Riemannian manifolds

We show that for every Lipschitz function $f$ defined on a separable Riemannian manifold $M$ (possibly of infinite dimension), for every continuous $\epsilon:M\to (0,+\infty)$, and for every positive number $r>0$, there exists a $C^\infty$ smooth Lipschitz function $g:M\to\mathbb{R}$ such that $|f(p)-g(p)|\leq\epsilon(p)$ for every $p\in M$ and $\textrm{Lip}(g)\leq\textrm{Lip}(f)+r$. Consequently, every separable Riemannian manifold is uniformly bumpable. We also present some applications of this result, such as a general version for separable Riemannian manifolds of Deville-Godefroy-Zizler's smooth variational principle.Comment: 10 page

Exploring Peer Instruction: Should Cohort Clicker Responses Appear During or After Polling?

During problem-based learning sessions, undergraduate students were tasked with answering chemistry-related questions using clicker-handset technology in which the last response made by each handset would override any previous vote. The benefits, if any, of showing cohort responses from clicker questions during versus after polling were explored. Preliminary work suggested that cohort responses shown live during polling created greater unprompted peer instruction, which was inferred from a noticeably louder level of classroom debate. To test if subtle polling changes can promote greater peer instruction, this study monitored cohort performance, clicker response times, and voting-behavior patterns throughout the polling process. Profiling individual and team-based clicker activity in this manner highlighted contrasting performance data. No significant differences were seen when clicker handsets were used individually by students; however, certain trends were seen in the team-based model, which depended on how cohort responses were displayed and were also influenced by question type, with multiple-choice questions (MCQs) performing differently from true−false style questions. The results highlight improved performance in the team-based clicker model with peer instruction taking place during MCQ polls in which cohort responses were displayed live during voting. These findings highlight a clicker strategy embedded with peer instruction that bypasses the need for the standard three-phase process of polling, discussing, and then repolling. Displaying polling responses live enables multiple polling and discussion opportunities to occur in a single interchangeable phase, thus providing a time-efficient voting and peer-instruction method that may attract more instructors to adopt clicker technology within their teaching

A simple mean field model for social interactions: dynamics, fluctuations, criticality

We study the dynamics of a spin-flip model with a mean field interaction. The system is non reversible, spacially inhomogeneous, and it is designed to model social interactions. We obtain the limiting behavior of the empirical averages in the limit of infinitely many interacting individuals, and show that phase transition occurs. Then, after having obtained the dynamics of normal fluctuations around this limit, we analize long time fluctuations for critical values of the parameters. We show that random inhomogeneities produce critical fluctuations at a shorter time scale compared to the homogeneous system.Comment: 37 pages, 2 figure

Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian

We consider Hamilton Jacobi Bellman equations in an inifinite dimensional Hilbert space, with quadratic (respectively superquadratic) hamiltonian and with continuous (respectively lipschitz continuous) final conditions. This allows to study stochastic optimal control problems for suitable controlled Ornstein Uhlenbeck process with unbounded control processes

A Semi-Lagrangian scheme for a modified version of the Hughes model for pedestrian flow

In this paper we present a Semi-Lagrangian scheme for a regularized version of the Hughes model for pedestrian flow. Hughes originally proposed a coupled nonlinear PDE system describing the evolution of a large pedestrian group trying to exit a domain as fast as possible. The original model corresponds to a system of a conservation law for the pedestrian density and an Eikonal equation to determine the weighted distance to the exit. We consider this model in presence of small diffusion and discuss the numerical analysis of the proposed Semi-Lagrangian scheme. Furthermore we illustrate the effect of small diffusion on the exit time with various numerical experiments

Allocating HIV Prevention Funds in the United States: Recommendations from an Optimization Model

The Centers for Disease Control and Prevention (CDC) had an annual budget of approximately $327 million to fund health departments and community-based organizations for core HIV testing and prevention programs domestically between 2001 and 2006. Annual HIV incidence has been relatively stable since the year 2000 [1] and was estimated at 48,600 cases in 2006 and 48,100 in 2009 [2]. Using estimates on HIV incidence, prevalence, prevention program costs and benefits, and current spending, we created an HIV resource allocation model that can generate a mathematically optimal allocation of the Division of HIV/AIDS Prevention’s extramural budget for HIV testing, and counseling and education programs. The model’s data inputs and methods were reviewed by subject matter experts internal and external to the CDC via an extensive validation process. The model projects the HIV epidemic for the United States under different allocation strategies under a fixed budget. Our objective is to support national HIV prevention planning efforts and inform the decision-making process for HIV resource allocation. Model results can be summarized into three main recommendations. First, more funds should be allocated to testing and these should further target men who have sex with men and injecting drug users. Second, counseling and education interventions ought to provide a greater focus on HIV positive persons who are aware of their status. And lastly, interventions should target those at high risk for transmitting or acquiring HIV, rather than lower-risk members of the general population. The main conclusions of the HIV resource allocation model have played a role in the introduction of new programs and provide valuable guidance to target resources and improve the impact of HIV prevention efforts in the United States

Quantum Smoluchowski equation: Escape from a metastable state

We develop a quantum Smoluchowski equation in terms of a true probability distribution function to describe quantum Brownian motion in configuration space in large friction limit at arbitrary temperature and derive the rate of barrier crossing and tunneling within an unified scheme. The present treatment is independent of path integral formalism and is based on canonical quantization procedure.Comment: 10 pages, To appear in the Proceedings of Statphys - Kolkata I

Consensus via multi-population robust mean-field games

In less prescriptive environments where individuals are told ‘what to do’ but not ‘how to do’, synchronization can be a byproduct of strategic thinking, prediction, and local interactions. We prove this in the context of multipopulation robust mean-field games. The model sheds light on a multi-scale phenomenon involving fast synchronization within the same population and slow inter-cluster oscillation between different populations