From mean field games to the best reply strategy in a stochastic framework

DOI10.3934/JDG.2019020zbMATH Open1437.49054arXiv1911.04164OpenAlexW3103412129WikidataQ126860697 ScholiaQ126860697MaRDI QIDQ2179034FDOQ2179034

Authors: Matt Barker 

Publication date: 12 May 2020

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

Abstract: This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques. In the case of a linear quadratic running-cost, considered here, the MPC method is shown to approximate the solution to the control problem by the best reply strategy (BRS) for the running cost. We then compare the MPC approach when taking the mean field limit with the popular mean field game (MFG) strategy. We find that our MPC approach reduces the two coupled PDEs to a single PDE, greatly increasing the simplicity and tractability of the original problem. We give two examples of applications of this approach to previous literature and conclude with future perspectives for this research.

Full work available at URL: https://arxiv.org/abs/1911.04164

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zbMATH Keywords

mean field gamesmodel predictive controlstochastic differential gameslinear-quadratic gamesbest reply strategy

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) PDEs in connection with control and optimization (35Q93) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Control/observation systems governed by partial differential equations (93C20) Mean field games and control (49N80)

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Cited In (3)

• Convergence of some mean field games systems to aggregation and flocking models
• A mean field game model of firm-level innovation
• Comparing the best-reply strategy and mean-field games: The stationary case

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