Related papers: Reinforcement Learning Algorithm for Mixed Mean Fi…

Finding Nash equilibria in two-player zero-sum continuous games is a central problem in machine learning, e.g. for training both GANs and robust models. The existence of pure Nash equilibria requires strong conditions which are not…

In this work, we study the interaction of strategic agents in continuous action Cournot games with limited information feedback. Cournot game is the essential market model for many socio-economic systems where agents learn and compete…

Multi-agent reinforcement learning (MARL) addresses sequential decision-making problems with multiple agents, where each agent optimizes its own objective. In many real-world instances, the agents may not only want to optimize their…

We consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…

We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…

We propose the concept of a Lagrangian game to solve constrained Markov games. Such games model scenarios where agents face cost constraints in addition to their individual rewards, that depend on both agent joint actions and the evolving…

We present a general computational framework for solving continuous-time financial market equilibria under minimal modeling assumptions while incorporating realistic financial frictions, such as trading costs, and supporting multiple…

While the topic of mean-field games (MFGs) has a relatively long history, heretofore there has been limited work concerning algorithms for the computation of equilibrium control policies. In this paper, we develop a computable policy…

An automatic program that generates constant profit from the financial market is lucrative for every market practitioner. Recent advance in deep reinforcement learning provides a framework toward end-to-end training of such trading agent.…

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…

We present a framework for computing approximate mixed-strategy Nash equilibria of continuous-action games. It is a modification of the traditional double oracle algorithm, extended to multiple players and continuous action spaces. Unlike…

Federated learning aims to train predictive models for data that is distributed across clients, under the orchestration of a server. However, participating clients typically each hold data from a different distribution, which can yield to…

In single-agent Markov decision processes, an agent can optimize its policy based on the interaction with environment. In multi-player Markov games (MGs), however, the interaction is non-stationary due to the behaviors of other players, so…

We propose a type of non-cooperative game, termed multi-cluster aggregative game, which is composed of clusters as players, where each cluster consists of collaborative agents with cost functions depending on their own decisions and the…

Multi-agent reinforcement learning methods have shown remarkable potential in solving complex multi-agent problems but mostly lack theoretical guarantees. Recently, mean field control and mean field games have been established as a…

We investigate Nash equilibrium learning in a competitive Markov Game (MG) environment, where multiple agents compete, and multiple Nash equilibria can exist. In particular, for an oligopolistic dynamic pricing environment, exact Nash…

Learning in games discusses the processes where multiple players learn their optimal strategies through the repetition of game plays. The dynamics of learning between two players in zero-sum games, such as Matching Pennies, where their…

This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…

This paper studies the connection between a class of mean-field games and a social welfare optimization problem. We consider a mean-field game in function spaces with a large population of agents, and each agent seeks to minimize an…