Robust Mean Field Games

Dario Bauso, Tembine Hamidou, Tamer Başar

    Research output: Contribution to journalArticle

    Abstract

    Recently there has been renewed interest in large-scale games in several research disciplines, with diverse application domains as in the smart grid, cloud computing, financial markets, biochemical reaction networks, transportation science, and molecular biology. Prior works have provided rich mathematical foundations and equilibrium concepts but relatively little in terms of robustness in the presence of uncertainties. In this paper, we study mean field games with uncertainty in both states and payoffs. We consider a population of players with individual states driven by a standard Brownian motion and a disturbance term. The contribution is threefold: First, we establish a mean field system for such robust games. Second, we apply the methodology to production of an exhaustible resource. Third, we show that the dimension of the mean field system can be significantly reduced by considering a functional of the first moment of the mean field process.

    Original languageEnglish (US)
    Pages (from-to)277-303
    Number of pages27
    JournalDynamic Games and Applications
    Volume6
    Issue number3
    DOIs
    StatePublished - Sep 1 2016

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    Mean Field
    Game
    Molecular biology
    Brownian movement
    Cloud computing
    Uncertainty
    Biochemical Networks
    Reaction Network
    Smart Grid
    Molecular Biology
    Threefolds
    Financial Markets
    Cloud Computing
    Brownian motion
    Disturbance
    Robustness
    Moment
    Resources
    Methodology
    Term

    Keywords

    • Differential games
    • Mean field games
    • Optimal control

    ASJC Scopus subject areas

    • Statistics and Probability
    • Computer Science Applications
    • Computer Graphics and Computer-Aided Design
    • Computational Theory and Mathematics
    • Computational Mathematics
    • Applied Mathematics

    Cite this

    Bauso, D., Hamidou, T., & Başar, T. (2016). Robust Mean Field Games. Dynamic Games and Applications, 6(3), 277-303. https://doi.org/10.1007/s13235-015-0160-4

    Robust Mean Field Games. / Bauso, Dario; Hamidou, Tembine; Başar, Tamer.

    In: Dynamic Games and Applications, Vol. 6, No. 3, 01.09.2016, p. 277-303.

    Research output: Contribution to journalArticle

    Bauso, D, Hamidou, T & Başar, T 2016, 'Robust Mean Field Games', Dynamic Games and Applications, vol. 6, no. 3, pp. 277-303. https://doi.org/10.1007/s13235-015-0160-4
    Bauso, Dario ; Hamidou, Tembine ; Başar, Tamer. / Robust Mean Field Games. In: Dynamic Games and Applications. 2016 ; Vol. 6, No. 3. pp. 277-303.
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