Mean-field games for multiagent systems with multiplicative noises
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Publication:5212467
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.
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Cited in
(10)- Mean field stochastic linear quadratic games for continuum-parameterized multi-agent systems
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- Periodic and event-based impulse control for linear stochastic systems with multiplicative noise
- Discrete-time indefinite mean field linear quadratic games with multiplicative noise
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- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
- Mean field LQG social optimization: a reinforcement learning approach
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