A Policy Iteration Algorithm for N-player General-Sum Linear Quadratic Dynamic Games
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866929527004856320 |
|---|---|
| author | Guan, Yuxiang Salizzoni, Giulio Kamgarpour, Maryam Summers, Tyler H. |
| author_facet | Guan, Yuxiang Salizzoni, Giulio Kamgarpour, Maryam Summers, Tyler H. |
| contents | We present a policy iteration algorithm for the infinite-horizon N-player general-sum deterministic linear quadratic dynamic games and compare it to policy gradient methods. We demonstrate that the proposed policy iteration algorithm is distinct from the Gauss-Newton policy gradient method in the N-player game setting, in contrast to the single-player setting where under suitable choice of step size they are equivalent. We illustrate in numerical experiments that the convergence rate of the proposed policy iteration algorithm significantly surpasses that of the Gauss-Newton policy gradient method and other policy gradient variations. Furthermore, our numerical results indicate that, compared to policy gradient methods, the convergence performance of the proposed policy iteration algorithm is less sensitive to the initial policy and changes in the number of players. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_03106 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Policy Iteration Algorithm for N-player General-Sum Linear Quadratic Dynamic Games Guan, Yuxiang Salizzoni, Giulio Kamgarpour, Maryam Summers, Tyler H. Optimization and Control Systems and Control We present a policy iteration algorithm for the infinite-horizon N-player general-sum deterministic linear quadratic dynamic games and compare it to policy gradient methods. We demonstrate that the proposed policy iteration algorithm is distinct from the Gauss-Newton policy gradient method in the N-player game setting, in contrast to the single-player setting where under suitable choice of step size they are equivalent. We illustrate in numerical experiments that the convergence rate of the proposed policy iteration algorithm significantly surpasses that of the Gauss-Newton policy gradient method and other policy gradient variations. Furthermore, our numerical results indicate that, compared to policy gradient methods, the convergence performance of the proposed policy iteration algorithm is less sensitive to the initial policy and changes in the number of players. |
| title | A Policy Iteration Algorithm for N-player General-Sum Linear Quadratic Dynamic Games |
| topic | Optimization and Control Systems and Control |
| url | https://arxiv.org/abs/2410.03106 |