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Nash Certainty Equivalence in Large Population Stochastic Dynamic Games: Connections with the Physics of Interacting Particle Systems

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3 Author(s)
Minyi Huang ; Dept. of Inf. Eng., Australian Nat. Univ., Canberra, ACT ; Malhame, R.P. ; Caines, P.E.

We consider large population dynamic games and illuminate methodological connections with the theory of interacting particle systems. Combined with the large population modelling, a Nash certainty equivalence (NCE) methodology is introduced for specifying the localized strategy selection of a given agent within the Nash equilibrium setting. The NCE methodology closely parallels that found in the study of uncontrolled interacting particle systems within the framework of the McKean-Vlasov equation (1966): for both problems the solution is derived by focussing on a single generic individual at a microscopic level and analyzing its interaction with the ensemble of the other individuals of which it is itself, in a statistical sense, a representative

Published in:

Decision and Control, 2006 45th IEEE Conference on

Date of Conference:

13-15 Dec. 2006