Related papers: Large deviations for interacting particle dynamics…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
Distributed Nash equilibrium seeking of aggregative games is investigated and a continuous-time algorithm is proposed. The algorithm is designed by virtue of projected gradient play dynamics and distributed average tracking dynamics, and is…
Computing approximate Nash equilibria in multi-player general-sum Markov games is a computationally intractable task. However, multi-player Markov games with certain cooperative or competitive structures might circumvent this…
The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…
A fundamental open problem in monotone game theory is the computation of a specific generalized Nash equilibrium (GNE) among all the available ones, e.g. the optimal equilibrium with respect to a system-level objective. The existing GNE…
Decision making in modern large-scale and complex systems such as communication networks, smart electricity grids, and cyber-physical systems motivate novel game-theoretic approaches. This paper investigates big strategic (non-cooperative)…
Existing methods for learning Stackelberg equilibria typically assume that the followers' (variational, generalized) Nash equilibrium is unique. However, in the presence of multiple equilibria, without a selection convention, the problem…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
Dynamic zero-sum games are an important class of problems with applications ranging from evasion-pursuit and heads-up poker to certain adversarial versions of control problems such as multi-armed bandit and multiclass queuing problems.…
This paper introduces alignment games, a new class of zero-sum games modeling strategic interventions where effectiveness depends on alignment with an underlying hidden state. Motivated by operational problems in medical diagnostics,…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
In the nonzero-sum setting, we establish a connection between Nash equilibria in games of optimal stopping (Dynkin games) and generalised Nash equilibrium problems (GNEP). In the Dynkin game this reveals novel equilibria of threshold type…
Decentralized team problems where players have asymmetric information about the state of the underlying stochastic system have been actively studied, but \emph{games} between such teams are less understood. We consider a general model of…
This paper aims to solve two fundamental problems on finite or infinite horizon dynamic games with perfect or almost perfect information. Under some mild conditions, we prove (1) the existence of subgame-perfect equilibria in general…
Strategic-form min-max game theory examines the existence, multiplicity, selection of equilibria, and the worst-case computational complexity under perfect rationality. However, in many applications, games are drawn from an ensemble, and…
We study two-layer neural networks in the mean field limit, where the number of neurons tends to infinity. In this regime, the optimization over the neuron parameters becomes the optimization over the probability measures, and by adding an…
We consider the integrable family of symmetric boundary-driven interacting particle systems that arise from the non-compact XXX Heisenberg model in one dimension with open boundaries. In contrast to the well-known symmetric exclusion…
Integration against a probability distribution given its unnormalized density is a central task in Bayesian inference and other fields. We introduce new methods for approximating such expectations with a small set of weighted samples --…
In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within…
This paper studies large deviations of a ``fully coupled" finite state mean-field interacting particle system in a fast varying environment. The empirical measure of the particles evolves in the slow time scale and the random environment…