Year: 2019
Type: preprint
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.
Source: arXiv (Cornell University)
Institution: Özyeğin University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2971606133