Continuous-time mean field games: a primal-dual characterization
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , , |
|---|---|
| Format: | Preprint |
| Publié: |
2025
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866912354292203520 |
|---|---|
| author | Guo, Xin Hu, Anran Zhang, Jiacheng Zhang, Yufei |
| author_facet | Guo, Xin Hu, Anran Zhang, Jiacheng Zhang, Yufei |
| contents | This paper establishes a primal-dual formulation for continuous-time mean field games (MFGs) and provides a complete analytical characterization of the set of all Nash equilibria (NEs). We first show that for any given mean field flow, the representative player's control problem with {\it measurable coefficients} is equivalent to a linear program over the space of occupation measures. We then establish the dual formulation of this linear program as a maximization problem over smooth subsolutions of the associated Hamilton-Jacobi-Bellman (HJB) equation, which plays a fundamental role in characterizing NEs of MFGs. Finally, a complete characterization of \emph{all NEs for MFGs} is established by the strong duality between the linear program and its dual problem. This strong duality is obtained by studying the solvability of the dual problem, and in particular through analyzing the regularity of the associated HJB equation.
Compared with existing approaches for MFGs, the primal-dual formulation and its NE characterization do not require the convexity of the associated Hamiltonian or the uniqueness of its optimizer, and remain applicable when the HJB equation lacks classical or even continuous solutions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_01042 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Continuous-time mean field games: a primal-dual characterization Guo, Xin Hu, Anran Zhang, Jiacheng Zhang, Yufei Optimization and Control Probability This paper establishes a primal-dual formulation for continuous-time mean field games (MFGs) and provides a complete analytical characterization of the set of all Nash equilibria (NEs). We first show that for any given mean field flow, the representative player's control problem with {\it measurable coefficients} is equivalent to a linear program over the space of occupation measures. We then establish the dual formulation of this linear program as a maximization problem over smooth subsolutions of the associated Hamilton-Jacobi-Bellman (HJB) equation, which plays a fundamental role in characterizing NEs of MFGs. Finally, a complete characterization of \emph{all NEs for MFGs} is established by the strong duality between the linear program and its dual problem. This strong duality is obtained by studying the solvability of the dual problem, and in particular through analyzing the regularity of the associated HJB equation. Compared with existing approaches for MFGs, the primal-dual formulation and its NE characterization do not require the convexity of the associated Hamiltonian or the uniqueness of its optimizer, and remain applicable when the HJB equation lacks classical or even continuous solutions. |
| title | Continuous-time mean field games: a primal-dual characterization |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2503.01042 |