Related papers: Stochastic Switching Games
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…
Power system operators and electric utility companies often impose a coincident peak demand charge on customers when the aggregate system demand reaches its maximum. This charge incentivizes customers to strategically shift their peak usage…
We investigate mean field games for players, who are weakly coupled via their empirical measure. To this end we investigate time-dependent pure jump type propagators over a finite space in the framework of non-linear Markov processes. We…
Zero-sum stochastic games have found important applications in a variety of fields, from machine learning to economics. Work on this model has primarily focused on the computation of Nash equilibrium due to its effectiveness in solving…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
In this article, we revisit a communication-control co-design problem for a class of two-player stochastic differential games on an infinite horizon. Each 'player' represents two active decision makers, namely a scheduler and a remote…
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…
In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
In this work, we study stochastic non-cooperative games, where only noisy black-box function evaluations are available to estimate the cost function for each player. Since each player's cost function depends on both its own decision…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…
We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…
In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…
In this paper we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games whose cost functionals are defined by a system of coupled backward stochastic differential equations. We obtain an existence…
We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultaneously punishing firms who behave non-green. Interpreting the…
Synthesis of finite-state controllers from high-level specifications in multi-agent systems can be reduced to solving multi-player concurrent games over finite graphs. The complexity of solving such games with qualitative objectives for…
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…
We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and…
We study nonzero-sum stochastic games for continuous time Markov chains on a denumerable state space with risk sensitive discounted and ergodic cost criteria. For the discounted cost criterion we first show that the corresponding system of…