Planning problem for continuous-time finite state mean field game with compact action space
| Autor: | Yurii Averboukh, Aleksei Volkov |
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| Rok vydání: | 2022 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Computer Science::Computer Science and Game Theory Applied Mathematics Probability (math.PR) 49N80 91A16 60J27 Computer Graphics and Computer-Aided Design Computer Science Applications Computational Mathematics Computational Theory and Mathematics Optimization and Control (math.OC) FOS: Mathematics Mathematics - Optimization and Control Mathematics - Probability |
| DOI: | 10.48550/arxiv.2204.08736 |
| Popis: | The planning problem for the mean field game implies the one tries to transfer the system of infinitely many identical rational agents from the given distribution to the final one using the choice of the terminal payoff. It can be formulated as the mean field game system with the boundary condition only on the measure variable. In the paper, we consider the continuous-time finite state mean field game assuming that the space of actions for each player is compact. It is shown that the planning problem in this case may not admit a solution even if the final distribution is reachable from the initial one. Further, we introduce the concept of generalized solution of the planning problem for the finite state mean field game based on the minimization of regret of the representative player. This minimal regret solution always exists. Additionally, the set of minimal regret solution is the closure of the set of classical solution of the planning problem provided that the latter is nonempty. Comment: 17 pages |
| Databáze: | OpenAIRE |
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