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Learning in Discounted-cost and Average-cost Mean-field Games

  • arXiv (Cornell University)
  • Cornell University
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We consider learning approximate Nash equilibria for discrete-time mean-field games with nonlinear stochastic state dynamics subject to both average and discounted costs. To this end, we introduce a mean-field equilibrium (MFE) operator, whose fixed point is a mean-field equilibrium (i.e. equilibrium in the infinite population limit). We first prove that this operator is a contraction, and propose a learning algorithm to compute an approximate mean-field equilibrium by approximating the MFE operator with a random one. Moreover, using the contraction property of the MFE operator, we establish the error analysis of the proposed learning algorithm. We then show that the learned mean-field equilibrium constitutes an approximate Nash equilibrium for finite-agent games.

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Publication details

DOI
10.48550/arxiv.1912.13309
OpenAlex
W3161773474
Document type
preprint
Language
EN
Source
arXiv (Cornell University)
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