Paper Info
Title
Approximate Nash Equilibria in Partially Observed Stochastic Games with Mean-Field Interactions.
Abstract
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players (agents) and the decentralized nature of this information. When the number of players is sufficiently large and the interactions among agents is of the mean-field type, one way to overcome this challenge is to investigate the infinite-population limit of the problem, which leads to a mean-field game. In this paper, we consider discrete-time partially observed mean-field games with infinite-horizon discounted-cost criteria. Using the technique of converting the original partially observed stochastic control problem to a fully observed one on the belief space and the dynamic programming principle, we establish the existence of Nash equilibria for these game models under very mild technical conditions. Then, we show that the mean-field equilibrium policy, when adopted by each agent, forms an approximate Nash equilibrium for games with sufficiently many agents.
Year
DOI
Venue
2017
10.1287/moor.2018.0957
MATHEMATICS OF OPERATIONS RESEARCH
Keywords
Field
DocType
mean-field games,approximate Nash equilibrium,partially observed stochastic control
Discounted cost,Dynamic programming,Mathematical economics,Mathematical optimization,Epsilon-equilibrium,Best response,Mean field theory,Nash equilibrium,Mathematics,Stochastic control
Journal
Volume
Issue
ISSN
44
3
0364-765X
Citations 
PageRank 
References 
1
0.34
1
Authors
3
Name
Order
Citations
PageRank
Naci Saldi12910.27
Tamer Basar23497402.11
Maxim Raginsky377160.65