A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
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Publication:4554792
mean field gamesNash equilibriumnumerical schemereflected diffusionsheavy traffic limitsqueuing systemsrate controlMarkov chain approximation method
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)
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 -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.
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Cited in
(10)- Mean-field game approach to admission control of an \(M/M/\infty \) queue with shared service cost
- Optimal incentives to mitigate epidemics: a Stackelberg mean field game approach
- Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
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- A probabilistic numerical method for a class of mean field games
- Analysis of a Finite State Many Player Game Using Its Master Equation
- An infinite-horizon mean field game of growth and capital accumulation: a Markov chain approximation numerical scheme and its challenges
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- Rate control under heavy traffic with strategic servers
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