An official website of the United States government
Mean-field games (MFGs) provide a statistical physics-inspired modelling framework for decision-making in large populations of strategic, non-cooperative agents. Mathematically, these systems consist of a forwards–backwards in time-system of two coupled nonlinear partial differential equations (PDEs), namely, the Fokker–Plank (FP) and the Hamilton–Jacobi–Bellman (HJB) equations, governing the agent state and control distribution, respectively. In this work, we study a finite-time MFG with a rich global bifurcation structure using a reduced-order model (ROM). The ROM is a four-dimensional (4D) two-point boundary value problem (BVP) obtained by restricting the controlled dynamics to the first two moments of the agent state distribution, i.e. the mean and the variance. Phase space analysis of the ROM reveals that the invariant manifolds of periodic orbits around the so-called ‘ergodic MFG equilibrium’ play a crucial role in determining the bifurcation diagram and imparting a topological signature to various solution branches. We show a qualitative agreement of these results with numerical solutions of the full-order MFG PDE system.
more »
« less
Caballero–Engel meet Lasry–Lions: A uniqueness result
Abstract In a Mean Field Game (MFG) each decision maker cares about the cross sectional distribution of the state and the dynamics of the distribution is generated by the agents’ optimal decisions. We prove the uniqueness of the equilibrium in a class of MFG where the decision maker controls the state at optimally chosen times. This setup accommodates several problems featuring non-convex adjustment costs, and complements the well known drift-control case studied by Lasry–Lions. Examples of such problems are described by Caballero and Engel in several papers, which introduce the concept of the generalized hazard function of adjustment. We extend the analysis to a general “impulse control problem” by introducing the concept of the “Impulse Hamiltonian”. Under the monotonicity assumption (a form of strategic substitutability), we establish the uniqueness of equilibrium. In this context, the Impulse Hamiltonian and its derivative play a similar role to the classical Hamiltonian that arises in the drift-control case.
more »
« less
- Award ID(s):
- 2153822
- PAR ID:
- 10526965
- Publisher / Repository:
- Springer Science + Business Media
- Date Published:
- Journal Name:
- Mathematics and Financial Economics
- Volume:
- 18
- Issue:
- 2-3
- ISSN:
- 1862-9679
- Format(s):
- Medium: X Size: p. 515-554
- Size(s):
- p. 515-554
- Sponsoring Org:
- National Science Foundation
More Like this
-
-
ABSTRACT We investigate an infinite‐horizon time‐inconsistent mean‐field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existence result. This classic equilibrium aligns with the conventional equilibrium concept studied in MFG literature when the context is time‐consistent. Then we demonstrate that while this equilibrium produces an approximate optimal strategy when applied to the related ‐agent games, it does so solely in a precommitment sense. Therefore, it cannot function as a genuinely approximate equilibrium strategy from the perspective of a sophisticated agent within the ‐agent game. To address this limitation, we propose a newconsistentequilibrium concept in both the MFG and the ‐agent game. We show that a consistent equilibrium in the MFG can indeed function as an approximate consistent equilibrium in the ‐agent game. Additionally, we analyze the convergence of consistent equilibria for ‐agent games toward a consistent MFG equilibrium as tends to infinity.more » « less
-
The framework of mean-field games (MFGs) is used for modeling the collective dynamics of large populations of non-cooperative decision-making agents. We formulate and analyze a kinetic MFG model for an interacting system of non-cooperative motile agents with inertial dynamics and finite-range interactions, where each agent is minimizing a biologically inspired cost function. By analyzing the associated coupled forward–backward in a time system of nonlinear Fokker–Planck and Hamilton–Jacobi–Bellman equations, we obtain conditions for closed-loop linear stability of the spatially homogeneous MFG equilibrium that corresponds to an ordered state with non-zero mean speed. Using a combination of analysis and numerical simulations, we show that when energetic cost of control is reduced below a critical value, this equilibrium loses stability, and the system transitions to a traveling wave solution. Our work provides a game-theoretic perspective to the problem of collective motion in non-equilibrium biological and bio-inspired systems.more » « less
-
Abstract We consider uniqueness problems for meromorphic inner functions on the upper half-plane. In these problems, we consider spectral data depending partially or fully on the spectrum, derivative values at the spectrum, Clark measure, or the spectrum of the negative of a meromorphic inner function. Moreover, we consider applications of these uniqueness results to inverse spectral theory of canonical Hamiltonian systems and obtain generalizations of the Borg-Levinson two-spectra theorem for canonical Hamiltonian systems and unique determination of a Hamiltonian from its spectral measure under some conditions.more » « less
-
null (Ed.)This paper studies an optimal stochastic impulse control problem in a finite time horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to be made. The continuity of the value function is proved. A suitable version of dynamic programming principle is established, which takes into account the dependence of state process on the elapsed time. The corresponding Hamilton-Jacobi-Bellman (HJB) equation is derived, which exhibits some special feature of the problem. The value function of this optimal impulse control problem is characterized as the unique viscosity solution to the corresponding HJB equation. An optimal impulse control is constructed provided the value function is given. Moreover, a limiting case with the waiting time approaching 0 is discussed.more » « less
