相关论文: Approximating Nash Equilibrium for Production Cont…

This paper studies the optimal extraction policy of an oil field as well as the efficient taxation of the revenues generated. Taking into account the fact that the oil price in worldwide commodity markets fluctuates randomly following…

We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…

Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective,…

Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…

A supermarket game is considered with $N$ FCFS queues with unit exponential service rate and global Poisson arrival rate $N \lambda$. Upon arrival each customer chooses a number of queues to be sampled uniformly at random and joins the…

We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…

We study the performance of approximate Nash equilibria for linear congestion games. We consider how much the price of anarchy worsens and how much the price of stability improves as a function of the approximation factor $\epsilon$. We…

This paper examines a competition game whose key variables are the R&D efforts (e.g. R&D expenditures) and accumulated knowledge of firms located in a specific region. The most significant element of accumulated knowledge is knowledge…

Decentralized decision making in multi--product firms can lead to efficiency losses when autonomous decision makers fail to internalize cross--product demand interactions. This paper quantifies the magnitude of such losses by analyzing the…

We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field…

We study continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game model based on a controlled graphon mean field stochastic…

Synthesis of finite-state controllers from high-level specifications in multi-agent systems can be reduced to solving multi-player concurrent games over finite graphs. The complexity of solving such games with qualitative objectives for…

This paper develops a novel methodology to study robust stability properties of Nash equilibrium points in dynamic games. Small-gain techniques in modern mathematical control theory are used for the first time to derive conditions…

This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…

We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…

In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…

In this paper we deal with linear production situations in which there is a limited common-pool resource, managed by an external agent. The profit that a producer, or a group of producers, can attain depends on the amount of common-pool…

This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…

We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly…

The theory of mean field games is a tool to understand noncooperative dynamic stochastic games with a large number of players. Much of the theory has evolved under conditions ensuring uniqueness of the mean field game Nash equilibrium.…