A class of hybrid LQG mean field games with state-invariant switching and stopping strategies

DOI10.1016/J.AUTOMATICA.2022.110244zbMATH Open1491.91019arXiv1810.02920OpenAlexW4225759778MaRDI QIDQ2139373FDOQ2139373

Ali Pakniyat, Peter E. Caines, Dena Firoozi

Publication date: 17 May 2022

Published in: Automatica (Search for Journal in Brave)

Abstract: A novel framework is presented that combines Mean Field Game (MFG) theory and Hybrid Optimal Control (HOC) theory to obtain a unique $epsilon$-Nash equilibrium for a non-cooperative game with switching and stopping times. We consider the case where there exists one major agent with a significant influence on the system together with a large number of minor agents constituting two subpopulations, each agent with individually asymptotically negligible effect on the whole system. Each agent has stochastic linear dynamics with quadratic costs, and the agents are coupled in their dynamics and costs by the average state of minor agents (i.e. the empirical mean field). It is shown that for a class of Hybrid LQG MFGs, the optimal switching and stopping times are state-invariant and only depend on the dynamical parameters of each agent. Accordingly, a hybrid systems formulation of the game is presented via the indexing by discrete events: (i) the switching of the major agent between alternative dynamics or (ii) the termination of the agents' trajectories in one or both of the subpopulations of minor agents. Optimal switchings and stopping time strategies together with best response control actions for, respectively, the major agent and all minor agents are established with respect to their individual cost criteria by an application of Hybrid LQG MFG theory.

Full work available at URL: https://arxiv.org/abs/1810.02920

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zbMATH Keywords

mean field gameshybrid optimal controlswitching and stopping times

Mathematics Subject Classification ID

Noncooperative games (91A10) Linear-quadratic optimal control problems (49N10) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

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Cited In (4)

• A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets
• The density evolution of the killed McKean–Vlasov process
• An optimal control problem for the continuity equation arising in smart charging
• Sufficient Conditions for Optimality and Asymptotic Stability in Two-Player Zero-Sum Hybrid Games

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