Approximate markov-nash equilibria for discrete-time risk-sensitive mean-field games

Name: Approximate markov-nash equilibria for discrete-time risk-sensitive mean-field games
Author: Saldı, Naci, Basar, T., Raginsky, M.

İsim	Approximate markov-nash equilibria for discrete-time risk-sensitive mean-field games
Yazar	Saldı, Naci, Basar, T., Raginsky, M.
Basım Tarihi:	2020-11
Basım Yeri	- Informs
Konu	Mean-field games, Approximate Nash equilibrium, Risk-sensitive stochastic control
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0364-765X
Kayıt Numarası	ffc10673-1132-4e12-bb8a-118dfc1cb0d5
Lokasyon	Natural and Mathematical Sciences
Tarih	2020-11
Notlar	TÜBİTAK ; Office of Naval Research ; United States Department of Defense Air Force Office of Scientific Research (AFOSR)
Örnek Metin	In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive optimality criterion. Risk sensitivity is introduced for each agent (player) via an exponential utility function. In this game model, each agent is coupled with the rest of the population through the empirical distribution of the states, which affects both the agent's individual cost and its state dynamics. Under mild assumptions, we establish the existence of a mean-field equilibrium in the infinite-population limit as the number of agents (N) goes to infinity, and we then show that the policy obtained from the mean-field equilibrium constitutes an approximate Nash equilibrium when N is sufficiently large.
DOI	10.1287/moor.2019.1044
Cilt	45

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Approximate markov-nash equilibria for discrete-time risk-sensitive mean-field games

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

Basım Tarihi 2020-11

Basım Yeri - Informs

Konu Mean-field games, Approximate Nash equilibrium, Risk-sensitive stochastic control

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0364-765X

Kayıt Numarası ffc10673-1132-4e12-bb8a-118dfc1cb0d5

Lokasyon Natural and Mathematical Sciences

Tarih 2020-11

Notlar TÜBİTAK ; Office of Naval Research ; United States Department of Defense Air Force Office of Scientific Research (AFOSR)

Örnek Metin In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive optimality criterion. Risk sensitivity is introduced for each agent (player) via an exponential utility function. In this game model, each agent is coupled with the rest of the population through the empirical distribution of the states, which affects both the agent's individual cost and its state dynamics. Under mild assumptions, we establish the existence of a mean-field equilibrium in the infinite-population limit as the number of agents (N) goes to infinity, and we then show that the policy obtained from the mean-field equilibrium constitutes an approximate Nash equilibrium when N is sufficiently large.

DOI 10.1287/moor.2019.1044

Cilt 45