Convex Analysis for LQG Systems with Applications to Major Minor LQG Mean Field Game Systems. (arXiv:1810.07551v1 [cs.SY])

LQG mean field game systems consisting of a major agent and a large population of minor agents have been addressed in the literature. In this paper, a novel convex analysis approach is utilized to retrieve the best response strategies for the major agent and each individual minor agent which collectively yield an $\epsilon$-Nash equilibrium for the entire system. 查看全文>>