Value iteration algorithm for mean-field games
Type :
Article
Publication Status :
Published
Access :
restrictedAccess
Abstract
In the literature, existence of mean-field equilibria has been established for discrete-time mean field games under both the discounted cost and the average cost optimality criteria. In this paper, we provide a value iteration algorithm to compute stationary mean-field equilibrium for both the discounted cost and the average cost criteria, whose existence proved previously. We establish that the value iteration algorithm converges to the fixed point of a mean-field equilibrium operator. Then, using this fixed point, we construct a stationary mean-field equilibrium. In our value iteration algorithm, we use Q-functions instead of value functions.
Source :
Systems & Control Letters
Date :
2020-09
Volume :
143
Publisher :
Elsevier
URI
http://hdl.handle.net/10679/7084https://www.sciencedirect.com/science/article/abs/pii/S0167691120301262
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