Entropic Optimal Planning for Path-Dependent Mean Field Games

DOI10.1137/22M1484444MaRDI QIDQ6098456zbMATH OpenOpenAlexFDO

Authors Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang

Publication date 14 June 2023

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2203.07019

zbMATH Keywords

McKean-Vlasov dynamicmean field gamesoptimal transportplanning problem

Mathematics Subject Classification ID

Mean field games and control (49N80) Optimal transportation (49Q22) Mean field games (aspects of game theory) (91A16)

Abstract: In the context of mean field games, with possible control of the diffusion coefficient, we consider a path-dependent version of the planning problem introduced by P.L. Lions: given a pair of marginal distributions $(m{u}_0,m{u}_1)$, find a specification of the game problem starting from the initial distribution $m{u}_0$, and inducing the target distribution $m{u}_1$ at the mean field game equilibrium. Our main result reduces the path-dependent planning problem into an embedding problem, that is, constructing a McKean-Vlasov dynamics with given marginals $(m{u}_0,m{u}_1)$. Some sufficient conditions on $(m{u}_0,m{u}_1)$ are provided to guarantee the existence of solutions. We also characterize, up to integrability, the minimum entropy solution of the planning problem. In particular, as uniqueness does not hold anymore in our path-dependent setting, one can naturally introduce an optimal planning problem which would be reduced to an optimal transport problem along with controlled McKean-Vlasov dynamics.

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Cited in

(10)

• Strategy selection under entropy measures in movement-based three-way decision
• A variational approach to the mean field planning problem
• On the planning problem for the mean field games system
• On the planning problem for a class of mean field games
• An exit contract optimization problem
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• Nonlinear Fokker-Planck-Kolmogorov equations
• A new approach to principal-agent problems with volatility control
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