Mean Field Games for Multi-agent Systems with Multiplicative Noises
Optimization and Control
2019-06-10 v1
Abstract
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 control problem subject to consistent mean field approximations. The set of decentralized strategies is further shown to be an -Nash equilibrium. For the integrator multiagent systems, we design a set of -Nash strategies by exploiting the convexity property of the limiting problem. It is shown that under the mild conditions all the agents achieve mean-square consensus.
Cite
@article{arxiv.1906.03177,
title = {Mean Field Games for Multi-agent Systems with Multiplicative Noises},
author = {Bing-Chang Wang and Yuan-Hua Ni and Huanshui Zhang},
journal= {arXiv preprint arXiv:1906.03177},
year = {2019}
}