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arXiv · 1909.01758

Value Iteration Algorithm for Mean-field Games

Berkay Anahtarci·Can Deha Kariksiz·Naci Saldi
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Abstract

In the literature, existence of mean-field equilibria has been established for discrete-time mean field games under both the discounted cost and the average cost optimality criteria. In this paper, we provide a value iteration algorithm to compute mean-field equilibrium for both the discounted cost and the average cost criteria, whose existence proved previously. We establish that the value iteration algorithm converges to the fixed point of a mean-field equilibrium operator. Then, using this fixed point, we construct a mean-field equilibrium. In our value iteration algorithm, we use $Q$-functions instead of value functions.

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Berkay Anahtarci, Can Deha Kariksiz, Naci Saldi. 2019-09-04. Value Iteration Algorithm for Mean-field Games. https://arxiv.org/abs/1909.01758

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