DocumentCode
592236
Title
Mean field LQG games with mass behavior responsive to a major player
Author
Son Luu Nguyen ; Minyi Huang
Author_Institution
Sch. of Math. & Stat., Carleton Univ., Ottawa, ON, Canada
fYear
2012
fDate
10-13 Dec. 2012
Firstpage
5792
Lastpage
5797
Abstract
We consider a linear-quadratic-Gaussian (LQG) game with a major player and a large number of minor players with mean field coupling. The state of the major player appears in the dynamics of the minor players, causing the mean field to be responsive to its control. We construct decentralized ε-Nash strategies. This is accomplished by combining (i) stochastic control with random coefficients and (ii) a procedure called anticipative variational calculations which addresses the major player´s ability to simultaneously perturb its own state process and the mean field.
Keywords
decentralised control; game theory; linear quadratic Gaussian control; stochastic systems; anticipative variational calculations; decentralized ε-Nash strategies; linear-quadratic-Gaussian game; major player; mass behavior responsive; mean field LQG games; mean field coupling; minor players; random coefficients; stochastic control; Approximation methods; Equations; Games; Limiting; Sociology; Statistics; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control (CDC), 2012 IEEE 51st Annual Conference on
Conference_Location
Maui, HI
ISSN
0743-1546
Print_ISBN
978-1-4673-2065-8
Electronic_ISBN
0743-1546
Type
conf
DOI
10.1109/CDC.2012.6425984
Filename
6425984
Link To Document