Related papers: Entropic mean-field min-max problems via Best Resp…
We introduce Mean-Field Trust Region Policy Optimization (MF-TRPO), a novel algorithm designed to compute approximate Nash equilibria for ergodic Mean-Field Games (MFG) in finite state-action spaces. Building on the well-established…
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…
Nash equilibrium is a popular solution concept for solving imperfect-information games in practice. However, it has a major drawback: it does not preclude suboptimal play in branches of the game tree that are not reached in equilibrium.…
We consider a game-theoretic setting to model the interplay between attacker and defender in the context of information flow, and to reason about their optimal strategies. In contrast with standard game theory, in our games the utility of a…
We consider stationary viscous Mean-Field Games systems in the case of local, decreasing and unbounded coupling. These systems arise in ergodic mean-field game theory, and describe Nash equilibria of games with a large number of agents…
We consider network aggregative games to model and study multi-agent populations in which each rational agent is influenced by the aggregate behavior of its neighbors, as specified by an underlying network. Specifically, we examine systems…
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…
This paper proposes novel gradient-flow schemes that yield convergence to the optimal point of a convex optimization problem within a \textit{fixed} time from any given initial condition for unconstrained optimization, constrained…
We formulate a mean field game where each player stops a privately observed Brownian motion with absorption. Players are ranked according to their level of stopping and rewarded as a function of their relative rank. There is a unique mean…
Min-max optimization problems arise in several key machine learning setups, including adversarial learning and generative modeling. In their general form, in absence of convexity/concavity assumptions, finding pure equilibria of the…
In this paper, we study the infinite-time mean field games with discounting, establishing an equilibrium where individual optimal strategies collectively regenerate the mean-field distribution. To solve this problem, we partition all agents…
Mean field games (MFGs) model the limit of large populations of strategically interacting agents, yet both forward and inverse problems remain challenging. For the forward problem, a difficulty is to design numerical methods with global…
Game theory is widely used as a behavioral model for strategic interactions in biology and social science. It is common practice to assume that players quickly converge to an equilibrium, e.g. a Nash equilibrium. This can be studied in…
Art heritage cities are popular tourist destinations but for many of them overcrowding is becoming an issue. In this paper, we address the problem of modeling and analytically studying the flow of tourists along the narrow alleys of the…
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…
In this article, we introduce a new class of entropy-penalized robust mean field game problems in which the representative agent is opposed to Nature. The agent's objective is formulated as a min-max stochastic control problem, in which…
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and absorption. This algorithm allows to approximate the mean…
This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal…
We study single-loop gradient-flow dynamics for nested optimization, where the outer variable evolves while auxiliary variables track the inner solution map. While existing analyses typically rely on problem- and condition-specific Lyapunov…
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…