Exploratory LQG mean field games with entropy regularization. (May 2022)

• Record Type: Journal Article
• Authors: Firoozi, Dena; Jaimungal, Sebastian
• Is Part Of: Automatica. Volume 139(2022)
• Publication Date: 2022-05
• Subjects: LQG mean field games -- Entropy-regularization -- Exploration; Automatic control -- Periodicals; Automation -- Periodicals; 629.805
• DOI: 10.1016/j.automatica.2022.110177
• Languages: English
• ISSNs: 0005-1098

Abstract

Abstract: We study a general class of entropy-regularized multi-variate LQG mean field game (MFG) systems in continuous time with K distinct subpopulations of agents. We extend the notion of control actions to control distributions (exploratory actions), and explicitly derive the optimal control distributions for individual agents in the limiting MFG. We demonstrate that the optimal set of control distributions yields an ε -Nash equilibrium for the finite-population entropy-regularized MFG. Furthermore, we compare the resulting solutions with those of classical LQG MFG systems and establish the equivalence of their existence.