| AN INVARIANCE PRINCIPLE IN LARGE POPULATION STOCHASTIC DYNAMIC GAMES |
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| 引用本文： | Minyi HUANG Peter E. CAINES Roland P. MALHAME. AN INVARIANCE PRINCIPLE IN LARGE POPULATION STOCHASTIC DYNAMIC GAMES[J]. 系统科学与复杂性, 2007, 20(2): 162-172. DOI: 10.1007/s11424-007-9015-4 |
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| 作者姓名： | Minyi HUANG Peter E. CAINES Roland P. MALHAME |
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| 作者单位： | [1]Department of Information Engineeing, Research School of Information Sciences and Engineering, The Australian National University, Canberra, ACT 0200, Australia [2]Department of Electrical and Computer Engineering, McGill University, Montreal, QC H3A 2A7, Canada; also affiliated with GERAD [3]Department of Electrical Engineering, Ecole Polytechnique de Montréal, Montreal, Q C H3 C 3A7, Canada; also affiliated with GERAD |
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| 基金项目： | This work was partially supported by the Australian Research Council （ARC） and National Sciences and Engineering Research Council of Canada （NSERC）. Dedicated to Professor Han-Fu Chen on the occasion of his 70th birthday. |
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| 摘 要： |
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| 关 键 词： | 人口 随机动态博弈 最优化控制 纳什均衡 |
| 收稿时间： | 2007-02-01 |
| 修稿时间： | 2007-02-01 |
An Invariance Principle in Large Population Stochastic Dynamic Games |
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| Minyi Huang,Peter E. Caines,Roland P. Malhamé. An Invariance Principle in Large Population Stochastic Dynamic Games[J]. Journal of Systems Science and Complexity, 2007, 20(2): 162-172. DOI: 10.1007/s11424-007-9015-4 |
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| Authors: | Minyi Huang Peter E. Caines Roland P. Malhamé |
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| Affiliation: | (1) Department of Information Engineering, Research School of Information Sciences and Engineering, The Australian National University, Canberra, ACT, 0200, Australia;(2) Department of Electrical and Computer Engineering, McGill University, Montreal, QC, H3A 2A7, Canada;(3) Department of Electrical Engineering, école Polytechnique de Montréal, Montreal, QC, H3C 3A7, Canada;(4) GERAD, Montreal, Canada |
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| Abstract: | We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting control problem of a single agent and then perform averaging across the population; this procedure leads to a constant value for the martingale which shows an invariance property of the population behavior induced by the Nash strategies. |
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| Keywords: | Large population martingale representation Nash equilibrium optimal control stochastic dynamic games |
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