A mean field LQG game with soft-constrained disturbance as an adversarial player

Jianhui Huang, Minyi Huang

Research output: Chapter in book / Conference proceedingConference article published in proceeding or bookAcademic researchpeer-review

Abstract

This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a representative agent in the limiting model views the drift uncertainty as an adversarial player. By incorporating the temporal evolution of the mean field in an augmented state space, we solve two optimal control problems sequentially subject to a consistency requirement for the mean field approximation. A set of decentralized control strategies is obtained as a robust e -Nash equilibrium.
Original languageEnglish
Title of host publication54rd IEEE Conference on Decision and Control,CDC 2015
PublisherIEEE
Pages4424-4429
Number of pages6
Volume54rd IEEE Conference on Decision and Control,CDC 2015
ISBN (Electronic)9781479978861
DOIs
Publication statusPublished - 8 Feb 2015
Event54th IEEE Conference on Decision and Control, CDC 2015 - Osaka International Convention Center (Grand Cube), Osaka, Japan
Duration: 15 Dec 201518 Dec 2015

Conference

Conference54th IEEE Conference on Decision and Control, CDC 2015
CountryJapan
CityOsaka
Period15/12/1518/12/15

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modelling and Simulation
  • Control and Optimization

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