Approximate Equilibrium Computation for Discrete-Time Linear-Quadratic Mean-Field Games

Muhammad Aneeq Uz Zaman, Kaiqing Zhang, Erik Miehling, Tamer Basar

Research output: Chapter in Book/Report/Conference proceedingConference contribution


While the topic of mean-field games (MFGs) has a relatively long history, heretofore there has been limited work concerning algorithms for the computation of equilibrium control policies. In this paper, we develop a computable policy iteration algorithm for approximating the mean-field equilibrium in linear-quadratic MFGs with discounted cost. Given the mean-field, each agent faces a linear-quadratic tracking problem, the solution of which involves a dynamical system evolving in retrograde time. This makes the development of forward-in-time algorithm updates challenging. By identifying a structural property of the mean-field update operator, namely that it preserves sequences of a particular form, we develop a forward-in-time equilibrium computation algorithm. Bounds that quantify the accuracy of the computed mean-field equilibrium as a function of the algorithm's stopping condition are provided. The optimality of the computed equilibrium is validated numerically. In contrast to the most recent/concurrent results, our algorithm appears to be the first to study infinite-horizon MFGs with non-stationary mean-field equilibria, though with focus on the linear quadratic setting.

Original languageEnglish (US)
Title of host publication2020 American Control Conference, ACC 2020
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages7
ISBN (Electronic)9781538682661
StatePublished - Jul 2020
Event2020 American Control Conference, ACC 2020 - Denver, United States
Duration: Jul 1 2020Jul 3 2020

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619


Conference2020 American Control Conference, ACC 2020
Country/TerritoryUnited States

ASJC Scopus subject areas

  • Electrical and Electronic Engineering


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