Robustness and Approximation of Discrete-time Mean-field Games under Discounted Cost Criterion

Autor:	Aydın, Uğur, Saldi, Naci
Rok vydání:	2023
Předmět:	Electrical Engineering and Systems Science - Systems and Control Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	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 convergence conditions for value iteration-based algorithms in mean-field games. Subsequently, utilizing these results, we demonstrate that the mean-field equilibrium obtained through this value iteration algorithm remains robust even in the face of system dynamics misspecifications. We then apply these robustness findings to the finite model approximation problem in mean-field games, showing that if the state space quantization is fine enough, the mean-field equilibrium for the finite model closely approximates the nominal one. Comment: 35 Pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2310.10828 Zobrazit plný text záznamu View this record from Arxiv