Approximate markov-nash equilibria for discrete-time risk-sensitive mean-field games
dc.contributor.author | Saldı, Naci | |
dc.contributor.author | Basar, T. | |
dc.contributor.author | Raginsky, M. | |
dc.date.accessioned | 2021-02-22T09:17:23Z | |
dc.date.available | 2021-02-22T09:17:23Z | |
dc.date.issued | 2020-11 | |
dc.identifier.issn | 0364-765X | en_US |
dc.identifier.uri | http://hdl.handle.net/10679/7338 | |
dc.identifier.uri | https://pubsonline.informs.org/doi/10.1287/moor.2019.1044 | |
dc.description.abstract | In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive optimality criterion. Risk sensitivity is introduced for each agent (player) via an exponential utility function. In this game model, each agent is coupled with the rest of the population through the empirical distribution of the states, which affects both the agent's individual cost and its state dynamics. Under mild assumptions, we establish the existence of a mean-field equilibrium in the infinite-population limit as the number of agents (N) goes to infinity, and we then show that the policy obtained from the mean-field equilibrium constitutes an approximate Nash equilibrium when N is sufficiently large. | en_US |
dc.description.sponsorship | TÜBİTAK ; Office of Naval Research ; United States Department of Defense Air Force Office of Scientific Research (AFOSR) | |
dc.language.iso | eng | en_US |
dc.publisher | Informs | en_US |
dc.relation | info:turkey/grantAgreement/TUBITAK/BI.DEB 2232 | |
dc.relation.ispartof | Mathematics of Operations Research | |
dc.rights | restrictedAccess | |
dc.title | Approximate markov-nash equilibria for discrete-time risk-sensitive mean-field games | en_US |
dc.type | Article | en_US |
dc.peerreviewed | yes | en_US |
dc.publicationstatus | Published | en_US |
dc.contributor.department | Özyeğin University | |
dc.contributor.authorID | (ORCID 0000-0002-2677-7366 & YÖK ID 283091) Saldı, Naci | |
dc.contributor.ozuauthor | Saldı, Naci | |
dc.identifier.volume | 45 | en_US |
dc.identifier.issue | 4 | en_US |
dc.identifier.startpage | 1596 | en_US |
dc.identifier.endpage | 1620 | en_US |
dc.identifier.wos | WOS:000582125800017 | |
dc.identifier.doi | 10.1287/moor.2019.1044 | en_US |
dc.subject.keywords | Mean-field games | en_US |
dc.subject.keywords | Approximate Nash equilibrium | en_US |
dc.subject.keywords | Risk-sensitive stochastic control | en_US |
dc.identifier.scopus | SCOPUS:2-s2.0-85096035821 | |
dc.contributor.authorMale | 1 | |
dc.relation.publicationcategory | Article - International Refereed Journal - Institutional Academic Staff |
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