Related papers: Reinforcement Learning for Intra-and-Inter-Bank Bo…
We present a new combined \textit{mean field control game} (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equilibrium between groups. Players coordinate their strategies…
Mean field games (MFG) and mean field control problems (MFC) are frameworks to study Nash equilibria or social optima in games with a continuum of agents. These problems can be used to approximate competitive or cooperative games with a…
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…
Existing multi-agent reinforcement learning methods are limited typically to a small number of agents. When the agent number increases largely, the learning becomes intractable due to the curse of the dimensionality and the exponential…
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
Reinforcement learning is a powerful tool to learn the optimal policy of possibly multiple agents by interacting with the environment. As the number of agents grow to be very large, the system can be approximated by a mean-field problem.…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…
Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditional approaches typically focus on the interest rate changes…
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…
Stochastic games provide a framework for interactions among multiple agents and enable a myriad of applications. In these games, agents decide on actions simultaneously, the state of every agent moves to the next state, and each agent…
Reinforcement learning has been explored for many problems, from video games with deterministic environments to portfolio and operations management in which scenarios are stochastic; however, there have been few attempts to test these…
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…
Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal…
We present a method enabling a large number of agents to learn how to flock, which is a natural behavior observed in large populations of animals. This problem has drawn a lot of interest but requires many structural assumptions and is…
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 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…
This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the existence of a unique Nash Equilibrium to this GMFG, and…
In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following a public recommendation and their individual information.…
Mean field type games (MFTGs) describe Nash equilibria between large coalitions: each coalition consists of a continuum of cooperative agents who maximize the average reward of their coalition while interacting non-cooperatively with a…
Learning by experience in Multi-Agent Systems (MAS) is a difficult and exciting task, due to the lack of stationarity of the environment, whose dynamics evolves as the population learns. In order to design scalable algorithms for systems…