Related papers: Bayesian Learning in Mean Field Games

In a probabilistic mean field game driven by a L\'evy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of increasing and decreasing c\`adl\`ag processes, while he is…

Mean Field Game systems describe equilibrium configurations in differential games with infinitely many infinitesimal interacting agents. We introduce a learning procedure (similar to the Fictitious Play) for these games and show its…

We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…

Learning or estimating game models from data typically entails inducing separate models for each setting, even if the games are parametrically related. In empirical mechanism design, for example, this approach requires learning a new game…

We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by…

This paper is concerned with mean field games in which the players do not know the repartition of the other players. First a case in which the players do not gain information is studied. Results of existence and uniqueness are proved and…

Mean field type models describing the limiting behavior, as the number of players tends to $+\infty$, of stochastic differential game problems, have been recently introduced by J-M. Lasry and P-L. Lions. Numerical methods for the…

Mean field games were introduced by J-M.Lasry and P-L. Lions in the mathematical community, and independently by M. Huang and co-workers in the engineering community, to deal with optimization problems when the number of agents becomes very…

Non-cooperative and cooperative games with a very large number of players have many applications but remain generally intractable when the number of players increases. Introduced by Lasry and Lions, and Huang, Caines and Malham\'e, Mean…

In [14], Gueant, Lasry and Lions considered the model problem ``What time does meeting start?'' as a prototype for a general class of optimization problems with a continuum of players, called Mean Field Games problems. In this paper we…

This paper studies the relation between equilibria in single-period, discrete-time and continuous-time mean field game models. First, for single-period mean field games, we establish the existence of equilibria and then prove the…

We introduce a mean-field term to an evolutionary spatial game model. Namely, we consider the game of Nowak and May, based on the Prisoner's dilemma, and augment the game rules by a self-consistent mean-field term. This way, an agent…

Subject to reasonable conditions, in large population stochastic dynamics games, where the agents are coupled by the system's mean field (i.e. the state distribution of the generic agent) through their nonlinear dynamics and their nonlinear…

In this paper, we introduce discrete-time linear mean-field games subject to an infinite-horizon discounted-cost optimality criterion. The state space of a generic agent is a compact Borel space. At every time, each agent is randomly…

Mean field game facilitates analyzing multi-armed bandit (MAB) for a large number of agents by approximating their interactions with an average effect. Existing mean field models for multi-agent MAB mostly assume a binary reward function,…

We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…

We introduce a model of anonymous games with the player dependent action sets. We propose several learning procedures based on the well-known Fictitious Play and Online Mirror Descent and prove their convergence to equilibrium under the…

In this paper, we investigate the robustness of stationary mean-field equilibria in the presence of model uncertainties, specifically focusing on infinite-horizon discounted cost functions. To achieve this, we initially establish…

In this paper, we consider a class of mean field games in which the optimal strategy of a representative agent depends on the statistical distribution of the states and controls. We prove some existence results for the forward-backward…

We consider Cournot mean field games of controls, a model originally developed for the production of an exhaustible resource by a continuum of producers. We prove uniqueness of the solution under general assumptions on the price function.…