Markov-Nash equilibria in mean-field games with discounted cost

Name: Markov-Nash equilibria in mean-field games with discounted cost
Author: Saldı, Naci, Başar, T., Raginsky, M.

İsim	Markov-Nash equilibria in mean-field games with discounted cost
Yazar	Saldı, Naci, Başar, T., Raginsky, M.
Basım Tarihi:	2018
Basım Yeri	- Society for Industrial and Applied Mathematics Publications
Konu	Mean-field games, Nash equilibrium, Discounted cost
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0363-0129
Kayıt Numarası	850d6fcb-41fc-4ddc-8d5b-a4778924351c
Lokasyon	Natural and Mathematical Sciences
Tarih	2018
Notlar	Air Force Office of Scientific Research ; Office of Naval Research
Örnek Metin	In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a Polish space. At each time, the agents are coupled through the empirical distribution of their states, which affects both the agents' individual costs and their state transition probabilities. We introduce a new solution concept of the Markov--Nash equilibrium, under which a policy is player-by-player optimal in the class of all Markov policies. Under mild assumptions, we demonstrate the existence of a mean-field equilibrium in the infinite-population limit $N \to \infty$, and then show that the policy obtained from the mean-field equilibrium is approximately Markov--Nash when the number of agents $N$ is sufficiently large.
DOI	10.1137/17M1112583
Cilt	56

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Markov-Nash equilibria in mean-field games with discounted cost

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

Basım Tarihi 2018

Basım Yeri - Society for Industrial and Applied Mathematics Publications

Konu Mean-field games, Nash equilibrium, Discounted cost

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0363-0129

Kayıt Numarası 850d6fcb-41fc-4ddc-8d5b-a4778924351c

Lokasyon Natural and Mathematical Sciences

Tarih 2018

Notlar Air Force Office of Scientific Research ; Office of Naval Research

Örnek Metin In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a Polish space. At each time, the agents are coupled through the empirical distribution of their states, which affects both the agents' individual costs and their state transition probabilities. We introduce a new solution concept of the Markov--Nash equilibrium, under which a policy is player-by-player optimal in the class of all Markov policies. Under mild assumptions, we demonstrate the existence of a mean-field equilibrium in the infinite-population limit $N \to \infty$, and then show that the policy obtained from the mean-field equilibrium is approximately Markov--Nash when the number of agents $N$ is sufficiently large.

DOI 10.1137/17M1112583

Cilt 56