1. Mean Field Stackelberg Games: State Feedback Equilibrium
- Author
-
Minyi Huang and Xuwei Yang
- Subjects
TheoryofComputation_MISCELLANEOUS ,Computer Science::Computer Science and Game Theory ,0209 industrial biotechnology ,020208 electrical & electronic engineering ,Minor (linear algebra) ,ComputingMilieux_PERSONALCOMPUTING ,Feedback form ,02 engineering and technology ,Linear quadratic ,State (functional analysis) ,Decision problem ,Dynamic programming ,020901 industrial engineering & automation ,Mean field theory ,Control and Systems Engineering ,0202 electrical engineering, electronic engineering, information engineering ,Stackelberg competition ,Applied mathematics ,Mathematics - Abstract
We study mean field Stackelberg games between a major player (the leader) and a large population of minor players (the followers). By treating the mean field as part of the dynamics of the major player and a representative minor player, we Markovianize the decision problems and employ dynamic programming to determine the equilibrium strategy in a state feedback form. We show that for linear quadratic (LQ) models, the feedback equilibrium strategy is time consistent. We further give the explicit solution in a discrete-time LQ model.
- Published
- 2020