NDLI: Mean field LQG games with model uncertainty

Content Provider	IEEE Xplore Digital Library
Author	Jianhui Huang Minyi Huang
Copyright Year	2013
Description	Author affiliation: Sch. of Math. & Stat., Carleton Univ., Ottawa, ON, Canada (Minyi Huang) \|\| Dept. of Appl. Math., Hong Kong Polytech. Univ., Hong Kong, China (Jianhui Huang)
Abstract	This paper considers a class of mean field linear-quadratic-Gaussian (MFLQG) games. The system consists of a large number of negligible agents coupled through their cost functionals. Different to previous mean field game modeling, the stochastic differential equations of agents in our setup are subject to deterministic drift uncertainty satisfying an integral quadratic constraint. We deal with the model uncertainty by a robust optimization approach and formulate a minimax control problem in the infinite population limit. The state aggregation technique is applied where the mean field changes with the drift uncertainty which acts as an adversarial player. Based on the variational and Lagrange multiplier methods, a set of decentralized strategies is derived. The associated Hamiltonian system is represented by a system of coupled mean-field forward backward stochastic differential equations (FBSDEs) and some decoupling methods by Riccati equations are also presented.
Sponsorship	IEEE Control Syst. Soc.
Starting Page	3103
Ending Page	3108
File Size	127710
Page Count	6
File Format	PDF
ISBN	9781467357142
ISSN	07431546
e-ISBN	9781467357173
DOI	10.1109/CDC.2013.6760356
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2013-12-10
Publisher Place	Italy
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Uncertainty Games Equations Mathematical model Robustness Optimization Limiting
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Control and Systems Engineering Modeling and Simulation

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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