### Abstract

In this paper, we consider linear-quadratic risk-sensitive mean field games (LQRSMFGs). Each agent strives to minimize an exponentiated integral quadratic cost or risk-sensitive cost function, which is coupled with other agents via a mean field term. By invoking the Nash certainty equivalence principle, we first obtain a robust decentralized control law for each agent to construct a mean field system. We then provide appropriate conditions under which the mean field system admits a unique deterministic function that approximates the mean field term with arbitrarily small error when the number of agents, say N, goes to infinity. We also show the closed-loop system stability, and prove that the set of N robust decentralized control laws possesses an ε-Nash equilibrium property. Moreover, we show that ε can be taken to be arbitrarily close to zero as N → ∞, but our ε bound is weaker than its linear-quadratic mean field game (LQMFG) counterpart due to risk-sensitivity in the present case. Finally, we discuss two different limiting cases, and show that one of these is equivalent to the corresponding LQMFG.

Original language | English (US) |
---|---|

Article number | 7039801 |

Pages (from-to) | 2691-2696 |

Number of pages | 6 |

Journal | Proceedings of the IEEE Conference on Decision and Control |

Volume | 2015-February |

Issue number | February |

DOIs | |

State | Published - Jan 1 2014 |

Event | 2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States Duration: Dec 15 2014 → Dec 17 2014 |

### ASJC Scopus subject areas

- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization

## Fingerprint Dive into the research topics of 'Linear-quadratic risk-sensitive mean field games'. Together they form a unique fingerprint.

## Cite this

*Proceedings of the IEEE Conference on Decision and Control*,

*2015-February*(February), 2691-2696. [7039801]. https://doi.org/10.1109/CDC.2014.7039801