Mean-Field Sparse Optimal Control of Systems with Additive White Noise

We analyze the problem of controlling a multiagent system with additive white noise through parsimonious interventions on a selected subset of the agents (leaders). For such a controlled system with an SDE constraint, we introduce a rigorous limit process toward an infinite dimensional optimal control problem constrained by the coupling of a system of ODEs for the leaders with a McKean--Vlasov type of SDE, governing the dynamics of the prototypical follower. The latter is, under some assumptions on the distribution of the initial data, equivalent with a (nonlinear parabolic) PDE-ODE system. The derivation of the limit mean-field optimal control problem is achieved by linking the mean-field limit of the governing equations together with the Gamma-limit of the cost functionals for the finite-dimensional problems.