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We present a Reinforcement Learning (RL) algorithm to solve infinite horizon asymptotic Mean Field Game (MFG) and Mean Field Control (MFC) problems.
Learning from delayed rewards
Christopher John Cornish Hellaby Watkins · 1989
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Stochastic approximation with two time scales
Vivek S Borkar · 1997
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Learning rates for q-learning
Eyal Even-Dar and Yishay Mansour · 2003
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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
Minyi Huang, Roland P. Malhamé, and Peter E. Caines · 2006
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Large-population cost-coupled LQG problems with nonuniform agents: individual-mass behavior and decentralized ϵ \epsilon -Nash equilibria
Minyi Huang, Peter E. Caines, and Roland P. Malhamé · 2007
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Mean field games
Jean-Michel Lasry and Pierre-Louis Lions · 2007
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Stochastic approximation
Vivek S. Borkar · 2008
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Mean field games and mean field type control theory
Alain Bensoussan, Jens Frehse, and Sheung Chi Phillip Yam · 2013
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Applied dynamic programming
Richard E Bellman and Stuart E Dreyfus · 2015
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Learning in mean field games: the fictitious play
Pierre Cardaliaguet and Saeed Hadikhanloo · 2017
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Probabilistic Theory of Mean Field Games with Applications I-II
René Carmona and François Delarue · 2018
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Decentralised learning in systems with many, many strategic agents
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Richard S Sutton and Andrew G Barto · 2018
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Deep mean field games for learning optimal behavior policy of large populations
Jiachen Yang, Xiaojing Ye, Rakshit Trivedi, Huan Xu, and Hongyuan Zha · 2018
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Mean field multi-agent reinforcement learning
Yaodong Yang, Rui Luo, Minne Li, Ming Zhou, Weinan Zhang, and Jun Wang · 2018
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René Carmona and Mathieu Laurière · 2019
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Mean-field markov decision processes with common noise and open-loop controls
Médéric Motte and Huyên Pham · 2019
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Reinforcement learning in stationary mean-field games
Jayakumar Subramanian and Aditya Mahajan · 2019
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Q-learning in regularized mean-field games
Berkay Anahtarci, Can Deha Kariksiz, and Naci Saldi · 2020
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On the convergence of model free learning in mean field games
Romuald Elie, Julien Perolat, Mathieu Laurière, Matthieu Geist, and Olivier Pietquin · 2020
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Deep learning methods for mean field control problems with delay
Jean-Pierre Fouque and Zhaoyu Zhang · 2020
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René Carmona and Mathieu Laurière · 2019
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Linear-quadratic mean-field reinforcement learning: Convergence of policy gradient methods
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Actor-critic provably finds nash equilibria of linear-quadratic mean-field games
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