On Social Optima of Non-Cooperative Mean Field Games

Conference · Sun Dec 11 23:00:00 EST 2016

DOI:https://doi.org/10.1109/CDC.2016.7798808· OSTI ID:1373874

Li, Sen; Zhang, Wei; Zhao, Lin; Lian, Jianming; Kalsi, Karanjit

This paper studies the social optima in noncooperative mean-field games for a large population of agents with heterogeneous stochastic dynamic systems. Each agent seeks to maximize an individual utility functional, and utility functionals of different agents are coupled through a mean field term that depends on the mean of the population states/controls. The paper has the following contributions. First, we derive a set of control strategies for the agents that possess *-Nash equilibrium property, and converge to the mean-field Nash equilibrium as the population size goes to infinity. Second, we study the social optimal in the mean field game. We derive the conditions, termed the socially optimal conditions, under which the *-Nash equilibrium of the mean field game maximizes the social welfare. Third, a primal-dual algorithm is proposed to compute the *-Nash equilibrium of the mean field game. Since the *-Nash equilibrium of the mean field game is socially optimal, we can compute the equilibrium by solving the social welfare maximization problem, which can be addressed by a decentralized primal-dual algorithm. Numerical simulations are presented to demonstrate the effectiveness of the proposed approach.

• Research Organization: Pacific Northwest National Laboratory (PNNL), Richland, WA (US)
• Sponsoring Organization: USDOE
• DOE Contract Number: AC05-76RL01830
• OSTI ID: 1373874
• Report Number(s): PNNL-SA-116713
• Country of Publication: United States
• Language: English