Mean-field games for multiagent systems with multiplicative noises
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Publication:5212467
DOI10.1002/RNC.4719zbMATH Open1432.91020arXiv1906.03177OpenAlexW2971271178MaRDI QIDQ5212467FDOQ5212467
Authors: Bing-Chang Wang, Yuan-Hua Ni, Huanshui Zhang 
Publication date: 29 January 2020
Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)
Abstract: This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal control problem subject to consistent mean field approximations. The set of decentralized strategies is further shown to be an -Nash equilibrium. For the integrator multiagent systems, we design a set of -Nash strategies by exploiting the convexity property of the limiting problem. It is shown that under the mild conditions all the agents achieve mean-square consensus.
Full work available at URL: https://arxiv.org/abs/1906.03177
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Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16) Multi-agent systems (93A16)
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Cited In (8)
- Social optima in linear quadratic mean field control with unmodeled dynamics and multiplicative noise
- Periodic and event-based impulse control for linear stochastic systems with multiplicative noise
- Mean field games for large-population multiagent systems with Markov jump parameters
- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
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- Two-strategy evolutionary games with stochastic adaptive control
- Mean field LQG social optimization: a reinforcement learning approach
- A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise
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