TY - GEN
T1 - Risk-sensitive mean field stochastic games
AU - Tembine, Hamidou
PY - 2011
Y1 - 2011
N2 - Recently, there has been much interest in understanding the behavior of large-scale systems in dynamic environment. The complexity of the analysis of large-scale systems is dramatically reduced by exploiting the mean field approach leading to macroscopic dynamical systems. Under regularity assumptions and specific time-scaling techniques the evolution of the mean field limit can be expressed in deterministic or stochastic equation or inclusion (difference or differential). In this paper, we study a risk-sensitive mean field stochastic game with discounted and total payoff criterion. We provide a risk-sensitive mean field system for the long-term total payoff and derive backward-forward mean field equations. In contrast to risk-neutral discounted case, we show the non-existence of stationary mean field response in a simple scenario with two actions for each generic player.
AB - Recently, there has been much interest in understanding the behavior of large-scale systems in dynamic environment. The complexity of the analysis of large-scale systems is dramatically reduced by exploiting the mean field approach leading to macroscopic dynamical systems. Under regularity assumptions and specific time-scaling techniques the evolution of the mean field limit can be expressed in deterministic or stochastic equation or inclusion (difference or differential). In this paper, we study a risk-sensitive mean field stochastic game with discounted and total payoff criterion. We provide a risk-sensitive mean field system for the long-term total payoff and derive backward-forward mean field equations. In contrast to risk-neutral discounted case, we show the non-existence of stationary mean field response in a simple scenario with two actions for each generic player.
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U2 - 10.1109/CDC.2011.6160218
DO - 10.1109/CDC.2011.6160218
M3 - Conference contribution
AN - SCOPUS:84860653772
SN - 9781612848006
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 4264
EP - 4269
BT - 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Y2 - 12 December 2011 through 15 December 2011
ER -