Group for Research in Decision Analysis

G-2019-18

Reinforcement learning in stationary mean-field games

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Multi-agent reinforcement learning has made significant progress in recent years, but it remains a hard problem. Hence, one often resorts to developing learning algorithms for specific classes of multi-agent systems. In this paper we study reinforcement learning in a specific class of multi-agent systems systems called mean-field games. In particular, we consider learning in stationary mean-field games. We identify two different solution concepts -stationary mean-field equilibrium and stationary mean-field social-welfare optimal policy- for such games based on whether the agents are non-cooperative or cooperative, respectively. We then generalize these solution concepts to their local variants using bounded rationality based arguments. For these two local solution concepts, we present two reinforcement learning algorithms. We show that the algorithms converge to the right solution under mild technical conditions and demonstrate this using two numerical examples.

, 22 pages