Approximate Equilibrium Computation for Discrete-Time Linear-Quadratic Mean-Field Games (2003.13195v2)

Abstract: While the topic of mean-field games (MFGs) has a relatively long history, heretofore there has been limited work concerning algorithms for the computation of equilibrium control policies. In this paper, we develop a computable policy iteration algorithm for approximating the mean-field equilibrium in linear-quadratic MFGs with discounted cost. Given the mean-field, each agent faces a linear-quadratic tracking problem, the solution of which involves a dynamical system evolving in retrograde time. This makes the development of forward-in-time algorithm updates challenging. By identifying a structural property of the mean-field update operator, namely that it preserves sequences of a particular form, we develop a forward-in-time equilibrium computation algorithm. Bounds that quantify the accuracy of the computed mean-field equilibrium as a function of the algorithm's stopping condition are provided. The optimality of the computed equilibrium is validated numerically. In contrast to the most recent/concurrent results, our algorithm appears to be the first to study infinite-horizon MFGs with non-stationary mean-field equilibria, though with focus on the linear quadratic setting.