Connections between mean-field game and social welfare optimization
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Publication:2280979
DOI10.1016/J.AUTOMATICA.2019.108590zbMATH Open1429.91039arXiv1703.10211OpenAlexW2976795358MaRDI QIDQ2280979FDOQ2280979
Publication date: 19 December 2019
Published in: Automatica (Search for Journal in Brave)
Abstract: This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an individual cost function. The cost functions of different agents are coupled through a mean-field term that depends on the mean of the population states. We show that although the mean-field game is not a potential game, under some mild condition the -Nash equilibrium of the mean-field game coincides with the optimal solution to a social welfare optimization problem, and this is true even when the individual cost functions are non-convex. The connection enables us to evaluate and promote the efficiency of the mean-field equilibrium. In addition, it also leads to several important implications on the existence, uniqueness, and computation of the mean-field equilibrium. Numerical results are presented to validate the solution, and examples are provided to show the applicability of the proposed approach.
Full work available at URL: https://arxiv.org/abs/1703.10211
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