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

Abstract

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.
Pages333-339
Number of pages7
ISBN (Electronic)9781538682661
DOIs
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
Volume2020-July
ISSN (Print)0743-1619

Conference

Conference2020 American Control Conference, ACC 2020
CountryUnited States
CityDenver
Period7/1/207/3/20

ASJC Scopus subject areas

  • Electrical and Electronic Engineering

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