Linear-quadratic N-person and mean-field games with ergodic cost
From MaRDI portal
Publication:5173271
DOI10.1137/140951795zbMATH Open1308.91008arXiv1401.1421OpenAlexW2964128536MaRDI QIDQ5173271FDOQ5173271
Authors: Martino Bardi, Fabio S. Priuli 
Publication date: 9 February 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: We consider stochastic differential games with players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is ergodic. We first study the existence of affine Nash equilibria by means of an associated system of Hamilton-Jacobi-Bellman and Kolmogorov-Fokker-Planck partial differential equations. We give necessary and sufficient conditions for the existence and uniqueness of quadratic-Gaussian solutions in terms of the solvability of suitable algebraic Riccati and Sylvester equations. Under a symmetry condition on the running costs and for nearly identical players we study the large population limit, tending to infinity, and find a unique quadratic-Gaussian solution of the pair of Mean Field Game HJB-KFP equations. Examples of explicit solutions are given, in particular for consensus problems.
Full work available at URL: https://arxiv.org/abs/1401.1421
Recommendations
- Linear-quadratic \(N\)-person and mean-field games: infinite horizon games with discounted cost and singular limits
- Explicit solutions of some linear-quadratic mean field games
- On solutions of mean field games with ergodic cost
- Linear-quadratic McKean-Vlasov stochastic differential games
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
Noncooperative games (91A10) Hamilton-Jacobi theories (49L99) Linear-quadratic optimal control problems (49N10) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
Cited In (54)
- A unified approach to linear-quadratic-Gaussian mean-field team: homogeneity, heterogeneity and quasi-exchangeability
- Linear-quadratic mean field games
- Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
- Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
- Steering the distribution of agents in mean-field games system
- Title not available (Why is that?)
- Time-dependent focusing mean-field games: the sub-critical case
- Concentration of ground states in stationary mean-field games systems
- Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
- Sparse control of Hegselmann-Krause models: black hole and declustering
- A mean field games approach to cluster analysis
- Linear quadratic mean field games: decentralized \(O(1/N)\)-Nash equilibria
- Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
- Mean field games models of segregation
- Stochastic games for fuel follower problem: \(N\) versus mean field game
- Linear-quadratic \(N\)-person and mean-field games: infinite horizon games with discounted cost and singular limits
- A general characterization of the mean field limit for stochastic differential games
- Explicit solutions of some linear-quadratic mean field games
- Stochastic evolutionary differential games toward a systems theory of behavioral social dynamics
- Risk-sensitive mean field games via the stochastic maximum principle
- Linear-quadratic mean-field-type games: a direct method
- Ergodic mean-field games with aggregation of Choquard-type
- On non-uniqueness and uniqueness of solutions in finite-horizon Mean Field Games
- Ergodic control of McKean-Vlasov SDEs and associated Bellman equation
- Mean field games models -- a brief survey
- Optimal policies for convex symmetric stochastic dynamic teams and their mean-field limit
- Existence of weak solutions to stationary mean-field games through variational inequalities
- Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
- Linear quadratic mean-field game with volatility uncertainty
- Mean field linear quadratic games with set up costs
- A policy iteration method for mean field games
- Discrete-time ergodic mean-field games with average reward on compact spaces
- From mean field games to the best reply strategy in a stochastic framework
- On the asymptotic nature of first order mean field games
- Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls
- Robust linear quadratic mean field social control: a direct approach
- Stationary focusing mean-field games
- Social optima in leader-follower mean field linear quadratic control
- A Mean Field Game of Optimal Stopping
- Nonlinear elliptic systems and mean-field games
- On solutions of mean field games with ergodic cost
- Subjective Equilibria Under Beliefs of Exogenous Uncertainty for Dynamic Games
- Linear quadratic mean field Stackelberg differential games
- Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise
- Some partially observed multi-agent linear exponential quadratic stochastic differential games
- Existence and uniqueness result for mean field games with congestion effect on graphs
- Linear-quadratic McKean-Vlasov stochastic differential games
- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
- \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
- Stackelberg equilibrium with social optima in linear-quadratic-Gaussian mean-field system
- Leader-follower mean field LQ games: a direct method
- Infinite horizon average cost optimality criteria for mean-field control
- Reconstructing a state-independent cost function in a mean-field game model
- Discrete-time indefinite linear-quadratic mean field games and control: the finite-population case
This page was built for publication: Linear-quadratic \(N\)-person and mean-field games with ergodic cost
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5173271)
