A Unified Relation Analysis of Linear-Quadratic Mean-Field Game, Team, and Control

• 成果类型: Article
• 署名作者: Huang, Jianhui; Qiu, Zhenghong; Wang, Shujun; Wu, Zhen
• 署名单位: Hong Kong Polytechnic University; Shandong University; Shandong University
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2023.3323576
• 发表日期: 2024
• 页码: 3325-3332
• 关键词: Forward-backward stochastic differential equation; large-population; mean-field game; mean-field social optima; mean-field type control

摘要

This article revisits well-studied dynamic decisions in weakly coupled large-population (LP) systems. Specifically, three types of LP decision problems: mean-field game (MG), mean-field team (MT), and mean-field-type control (MC), are completely analyzed in a general stochastic linear-quadratic setting with controlled-diffusion in state dynamics and indefinite weight in cost functional. More importantly, interrelations among MG, MT, and MC are systematically discussed; some relevant and interesting findings are reported that may be applied to a structural analysis of general LP decisions.