Thompson sampling for linear quadratic mean-field teams
Abstract
We consider optimal control of an unknown multi-agent linear quadratic (LQ) system where the dynamics and the cost are coupled across the agents through the mean-field (i.e., empirical mean) of the states and controls. Directly using single-agent LQ learning algorithms in such models results in regret which increases polynomially with the number of agents. We propose a new Thompson sampling based learning algorithm which exploits the structure of the system model and show that the expected Bayesian regret of our proposed algorithm for a system with agents of different types at time horizon is irrespective of the total number of agents, where the notation hides logarithmic factors in . We present detailed numerical experiments to illustrate the salient features of the proposed algorithm.
Cite
@article{arxiv.2011.04686,
title = {Thompson sampling for linear quadratic mean-field teams},
author = {Mukul Gagrani and Sagar Sudhakara and Aditya Mahajan and Ashutosh Nayyar and Yi Ouyang},
journal= {arXiv preprint arXiv:2011.04686},
year = {2020}
}
Comments
Submitted to AISTATS 2021