Partially-observed discrete-time risk-sensitive mean-field games

Name: Partially-observed discrete-time risk-sensitive mean-field games
Author: Saldı, Naci, Başar, T., Raginsky, M.

İsim	Partially-observed discrete-time risk-sensitive mean-field games
Yazar	Saldı, Naci, Başar, T., Raginsky, M.
Basım Tarihi:	2019
Basım Yeri	- IEEE
Tür	Belge
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	978-1-7281-1398-2
Kayıt Numarası	e03180e5-ab4b-4190-a23f-8aadbdc4d1cd
Lokasyon	Natural and Mathematical Sciences
Tarih	2019
Notlar	Army Research Laboratory ; Air Force Office of Scientific Research ; TÜBİTAK ; Office of Naval Research
Örnek Metin	We consider in this paper a general class of discrete-time partially-observed mean-field games with Polish state, action, and measurement spaces and with risk-sensitive (exponential) cost functions which capture the risk-averse behaviour of each agent. As standard in mean-field game models, here each agent is weakly coupled with the rest of the population through its individual cost and state dynamics via the empirical distribution of the states. We first establish the mean-field equilibrium in the infinite-population limit by first transforming the risk-sensitive problem to one with risk-neutral (that is, additive instead of multiplicative) cost function, and then employing the technique of converting the underlying original partially-observed stochastic control problem to a fully observed one on the belief space and the principle of dynamic programming. Then, we show that the mean-field equilibrium policy, when adopted by each agent, forms an approximate Nash equilibrium for games with sufficiently many agents.
DOI	10.1109/CDC40024.2019.9029343

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Partially-observed discrete-time risk-sensitive mean-field games

Yazar Saldı, Naci, Başar, T., Raginsky, M.

Basım Tarihi 2019

Basım Yeri - IEEE

Tür Belge

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 978-1-7281-1398-2

Kayıt Numarası e03180e5-ab4b-4190-a23f-8aadbdc4d1cd

Lokasyon Natural and Mathematical Sciences

Tarih 2019

Notlar Army Research Laboratory ; Air Force Office of Scientific Research ; TÜBİTAK ; Office of Naval Research

Örnek Metin We consider in this paper a general class of discrete-time partially-observed mean-field games with Polish state, action, and measurement spaces and with risk-sensitive (exponential) cost functions which capture the risk-averse behaviour of each agent. As standard in mean-field game models, here each agent is weakly coupled with the rest of the population through its individual cost and state dynamics via the empirical distribution of the states. We first establish the mean-field equilibrium in the infinite-population limit by first transforming the risk-sensitive problem to one with risk-neutral (that is, additive instead of multiplicative) cost function, and then employing the technique of converting the underlying original partially-observed stochastic control problem to a fully observed one on the belief space and the principle of dynamic programming. Then, we show that the mean-field equilibrium policy, when adopted by each agent, forms an approximate Nash equilibrium for games with sufficiently many agents.

DOI 10.1109/CDC40024.2019.9029343