Related papers: Reinforcement Learning Algorithm for Mixed Mean Fi…
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis…
Mean-Field Control (MFC) is a powerful tool to solve Multi-Agent Reinforcement Learning (MARL) problems. Recent studies have shown that MFC can well-approximate MARL when the population size is large and the agents are exchangeable.…
We address in this paper Reinforcement Learning (RL) among agents that are grouped into teams such that there is cooperation within each team but general-sum (non-zero sum) competition across different teams. To develop an RL method that…
Mean field games (MFG) and mean field control (MFC) problems have been introduced to study large populations of strategic players. They correspond respectively to non-cooperative or cooperative scenarios, where the aim is to find the Nash…
We propose a reinforcement learning algorithm for stationary mean-field games, where the goal is to learn a pair of mean-field state and stationary policy that constitutes the Nash equilibrium. When viewing the mean-field state and the…
We present a Reinforcement Learning (RL) algorithm to solve infinite horizon asymptotic Mean Field Game (MFG) and Mean Field Control (MFC) problems. Our approach can be described as a unified two-timescale Mean Field Q-learning: The…
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents. Mean field games have been introduced to…
Recent techniques based on Mean Field Games (MFGs) allow the scalable analysis of multi-player games with many similar, rational agents. However, standard MFGs remain limited to homogeneous players that weakly influence each other, and…
In this paper, we study a large population game with heterogeneous dynamics and cost functions solving a consensus problem. Moreover, the agents have communication constraints which appear as: (1) an Additive-White Gaussian Noise (AWGN)…
The recent mean field game (MFG) formalism facilitates otherwise intractable computation of approximate Nash equilibria in many-agent settings. In this paper, we consider discrete-time finite MFGs subject to finite-horizon objectives. We…
Mean-field games (MFG) have become significant tools for solving large-scale multi-agent reinforcement learning problems under symmetry. However, the assumption of exact symmetry limits the applicability of MFGs, as real-world scenarios…
This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…
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,…
Learning in multi-agent systems is highly challenging due to several factors including the non-stationarity introduced by agents' interactions and the combinatorial nature of their state and action spaces. In particular, we consider the…
In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…
We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…
Mean Field Games (MFGs) have been introduced to efficiently approximate games with very large populations of strategic agents. Recently, the question of learning equilibria in MFGs has gained momentum, particularly using model-free…
Federated learning offers a decentralized approach to machine learning, where multiple agents collaboratively train a model while preserving data privacy. In this paper, we investigate the decision-making and equilibrium behavior in…
In this paper, we study large population multi-agent reinforcement learning (RL) in the context of discrete-time linear-quadratic mean-field games (LQ-MFGs). Our setting differs from most existing work on RL for MFGs, in that we consider a…
Mean Field Games (MFG) have been introduced to tackle games with a large number of competing players. Considering the limit when the number of players is infinite, Nash equilibria are studied by considering the interaction of a typical…