On Time-Inconsistency in Mean Field Games

Fuente: arXiv
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Autores principales: Bayraktar, Erhan, Wang, Zhenhua
Formato: Preprint
Publicado: 2023
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author Bayraktar, Erhan
Wang, Zhenhua
author_facet Bayraktar, Erhan
Wang, Zhenhua
contents We investigate an infinite-horizon time-inconsistent mean-field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existence result. This classic equilibrium aligns with the conventional equilibrium concept studied in MFG literature when the context is time-consistent. Then we demonstrate that while this equilibrium produces an approximate optimal strategy when applied to the related $N$-agent games, it does so solely in a precommitment sense. Therefore, it cannot function as a genuinely approximate equilibrium strategy from the perspective of a sophisticated agent within the $N$-agent game. To address this limitation, we propose a new consistent equilibrium concept in both the MFG and the $N$-agent game. We show that a consistent equilibrium in the MFG can indeed function as an approximate consistent equilibrium in the $N$-agent game. Additionally, we analyze the convergence of consistent equilibria for $N$-agent games toward a consistent MFG equilibrium as $N$ tends to infinity.
format Preprint
id arxiv_https___arxiv_org_abs_2312_07770
institution arXiv
publishDate 2023
record_format arxiv
spellingShingle On Time-Inconsistency in Mean Field Games
Bayraktar, Erhan
Wang, Zhenhua
Optimization and Control
Computer Science and Game Theory
Probability
We investigate an infinite-horizon time-inconsistent mean-field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existence result. This classic equilibrium aligns with the conventional equilibrium concept studied in MFG literature when the context is time-consistent. Then we demonstrate that while this equilibrium produces an approximate optimal strategy when applied to the related $N$-agent games, it does so solely in a precommitment sense. Therefore, it cannot function as a genuinely approximate equilibrium strategy from the perspective of a sophisticated agent within the $N$-agent game. To address this limitation, we propose a new consistent equilibrium concept in both the MFG and the $N$-agent game. We show that a consistent equilibrium in the MFG can indeed function as an approximate consistent equilibrium in the $N$-agent game. Additionally, we analyze the convergence of consistent equilibria for $N$-agent games toward a consistent MFG equilibrium as $N$ tends to infinity.
title On Time-Inconsistency in Mean Field Games
topic Optimization and Control
Computer Science and Game Theory
Probability
url https://arxiv.org/abs/2312.07770