A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method

DOI10.1137/17M1154357;zbMATH Open1425.91043arXiv1708.08343MaRDI QIDQ4554792FDOQ4554792

Erhan Bayraktar, Asaf Cohen, Amarjit Budhiraja

Publication date: 9 November 2018

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

Abstract: We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and Cohen (2017). The MFG is formulated in terms of a controlled reflected diffusion with a cost function that depends on the reflection terms in addition to the standard variables: state, control, and the mean field term. This MFG arises from the asymptotic analysis of an $N$-player game for single server queues with strategic servers. By showing that our scheme is an almost contraction, we establish the convergence of this numerical scheme over a small time interval.

Full work available at URL: https://arxiv.org/abs/1708.08343

zbMATH Keywords

mean field gamesNash equilibriumnumerical schemereflected diffusionsheavy traffic limitsqueuing systemsrate controlMarkov chain approximation method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Queueing theory (aspects of probability theory) (60K25) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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Cited In (8)

• Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
• Recent developments in machine learning methods for stochastic control and games
• A probabilistic numerical method for a class of mean field games
• Analysis of a Finite State Many Player Game Using Its Master Equation
• Convergence of deep fictitious play for stochastic differential games
• Approximation of \(N\)-player stochastic games with singular controls by mean field games
• Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach
• Rate control under heavy traffic with strategic servers

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