Related papers: Reinforcement Learning Algorithm for Mixed Mean Fi…
Mean-field reinforcement learning has become a popular theoretical framework for efficiently approximating large-scale multi-agent reinforcement learning (MARL) problems exhibiting symmetry. However, questions remain regarding the…
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…
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…
The Mean-Field approximation is a tractable approach for studying large population dynamics. However, its assumption on homogeneity and universal connections among all agents limits its applicability in many real-world scenarios.…
Reinforcement learning for multi-agent games has attracted lots of attention recently. However, given the challenge of solving Nash equilibria for large population games, existing works with guaranteed polynomial complexities either focus…
Mean Field Games (MFG) are the class of games with a very large number of agents and the standard equilibrium concept is a Mean Field Equilibrium (MFE). Algorithms for learning MFE in dynamic MFGs are unknown in general. Our focus is on an…
We characterize zonal ancillary market coupling relying on noncooperative game theory. To that purpose, we formulate the ancillary market as a multi-leader single follower bilevel problem, that we subsequently cast as a generalized Nash…
In Multi-task learning (MTL), a joint model is trained to simultaneously make predictions for several tasks. Joint training reduces computation costs and improves data efficiency; however, since the gradients of these different tasks may…
Multi-agent reinforcement learning is a challenging and active field of research due to the inherent nonstationary property and coupling between agents. A popular approach to modeling the multi-agent interactions underlying the multi-agent…
This thesis is going to give a gentle introduction to Mean Field Games. It aims to produce a coherent text beginning for simple notions of deterministic control theory progressively to current Mean Field Games theory. The framework…
We establish the convergence of the unified two-timescale Reinforcement Learning (RL) algorithm presented in a previous work by Angiuli et al. This algorithm provides solutions to Mean Field Game (MFG) or Mean Field Control (MFC) problems…
The designs of many large-scale systems today, from traffic routing environments to smart grids, rely on game-theoretic equilibrium concepts. However, as the size of an $N$-player game typically grows exponentially with $N$, standard game…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
We propose a policy iteration method to solve an inverse problem for a mean-field game (MFG) model, specifically to reconstruct the obstacle function in the game from the partial observation data of value functions, which represent the…
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…
We investigate reinforcement learning in the setting of Markov decision processes for a large number of exchangeable agents interacting in a mean field manner. Applications include, for example, the control of a large number of robots…
The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…
We present the development and analysis of a reinforcement learning (RL) algorithm designed to solve continuous-space mean field game (MFG) and mean field control (MFC) problems in a unified manner. The proposed approach pairs the…
Reinforcement learning algorithms, just like any other Machine learning algorithm pose a serious threat from adversaries. The adversaries can manipulate the learning algorithm resulting in non-optimal policies. In this paper, we analyze the…
A mean-field game (MFG) seeks the Nash Equilibrium of a game involving a continuum of players, where the Nash Equilibrium corresponds to a fixed point of the best-response mapping. However, simple fixed-point iterations do not always…