A short version of the tutorial is now available.

I-Introduction

  • puceblackShort history, motivations
  • puceblackConnection to mathematical physics, population games, random matrix theory
  • puceblackReplica method, fluid approximation, stochastic approximation
  • puceblackDynamical system approach to large-scale systems
  • puceblackWhat is mean field?
  • puceblackWhy mean field stochastic games?
  • puceblackRelevance in large-scale systems
    • puceblackInternet of things with 2 billions of nodes
    • puceblackNetwork of sensors deployed along a volcano, collecting large quantities of data to monitor seismic activities where transmissions are from relay-node to relay-node until finally delivered to a base station
    • puceblackDisruption-tolerant networks with opportunistic meeting in a large population of 20.000.000 nodes
  • puceblackAdvantages and Limitations of Mean Field Approaches

II-Preliminaries

 

  • puceblack Static mean field games
    • puceblack limit of  sequences of games
    • puceblack limit of sequence of equilibria
    • puceblack ex-post  resilience
    • puceblack evolutionarily stable strategy
    • puceblack mean field taking strategy
  • puceblackIntroduction to dynamic games (discrete time, continous time)
    • puceblackEvolutionary games
    • puceblackStochastic games
    • puceblackDifference games
    • puceblackDifferential games
    • puceblackDynamic cooperative games

III- Basic mean field stochastic game models

  • puceblackDiscrete time models
    • puceblackProbabilistic transitions between states
    • puceblackState evolution described by difference equation or inclusion
  • puceblackContinuous time models
    • puceblackDeterministic state dynamics
    • puceblackStochastic differential equation
    • puceblackImperfect state observation

IV-Asymptotic analysis

 

  • puceblackMean field convergence
  • puceblackPropagation of chaos and asymptotic indistinguishability per class/type
    • puceblackNon-commutativity in stationary regime, double limit
    • puceblackHow to stabilize a controlled mean field game dynamics?
  • puceblackMean field optimality :Backward-Forward optimality equation
    • puceblackMean field Hamilton-Jacobi-Bellman-Fleming equation
    • puceblackFokker-Planck-Kolmogorov equation
    • puceblackLink with optimal control
    • puceblackBellman-Shapley optimality coupled with Kolmogorov  forward equation
    • puceblackMcKean-Vlasov equations
    • puceblackBackward-forward FPK-McV: existence, uniqueness conditions
  • puceblackMean field equilibria, epsilon-equilibria, population-size dependent approximation, mean field response
    • puceblackSufficiency conditions for Existence of solution
    • puceblackSufficiency conditions for uniqueness of regular solutions (HJBF/FPK-McV)
  • puceblackMean field learning
    • puceblackHybrid learning in large populations
    • puceblackQ-learning for coupled BS-K equations
    • puceblackH-learning for coupled HJBF-K equations

V-Applications

  • puceblackInformation dissemination in opportunistic networks
  • puceblackAccess control in stochastic networks
  • puceblackEvolutionary biology: resource competition and aggregative interaction
  • puceblackPower allocation under log-normal channels
  • puceblackMean field predictor in noisy environment
  • puceblackControlled McKean-Vlasov equations
  • puceblackHow mobility influences the energy consumption in heterogeneous ad hoc networks?
  • puceblackMobility and power saving in wireless networks (link with dynamic stochastic geometry)
  • puceblackMean field dynamics in chemical reaction networks

V-Extensions

 

  • puceblackRisk-sensitive mean field stochastic games: Markov games
    • puceblackMultiplicative Poisson equation, Multiplicative dynamic programming
  • puceblackRisk-sensitive mean field stochastic games: difference games
  • puceblackRisk-sensitive mean field stochastic games: differential games
  • puceblackHybrid mean field stochastic games
  • puceblackRobust mean field stochastic games

V-Related references on MEAN FIELD STOCHASTIC GAMES

 

Probably very imcomplete.If you think something should be includes, please write me an e-mail.

  • puceblackSelten, R. (1970), Preispolitik der Mehrprodktenunternehmung in der statischen Theorie, Springer-Verlag.
  • B. Jovanovic and R. W. Rosenthal. Anonymous sequential games. Journal of Mathematical Economics, 17:77-87, 1988
  • puceblackCorchon, L. (1994): ``Comparative Statics for Aggregative Games. The Strong Concavity Case'', Mathematical Social Sciences 28, 151-165
  • puceblackMinyi Huang;   Caines PE;   Malhame, R.P.;   Individual and mass behaviour in large population stochastic wireless power control problems: centralized and Nash equilibrium solutions, Proceedings of 42nd IEEE Conference on Decision and Control, 2003. 
  • puceblackJean-Michel Lasry and Pierre-Louis Lions, Mean field games, Japanese Journal of Mathematics, Volume 2, Number 1, 229-260, DOI: 10.1007/s11537-007-0657-8, Special Feature: The 1st Takagi Lecture
  • puceblackMichel Benaïm, J. Y. LeBoudec, A class of mean field interaction models for computer and communication systems, Performance Evaluation, Volume 65 Issue 11-12, November, 2008 
  • puceblackOlivier Gueant, A reference case for mean field games models, Journal de Mathématiques Pures et Appliques, Volume 92, Issue 3, September 2009, Pages 276-294
  • puceblackY. Achdou, I.C. Dolcetta, Mean field games: numerical methods, SIAM Journal on Numerical Anal., 48(3), 1136-1162, 2010
  • puceblackDiogo A. Gomes Joana Mohr and Rafael Rigao Souza, Discrete time, finite state space mean field games,Journal de Mathematiques Pures et AppliquesVolume 93, Issue 3, March 2010, Pages 308-328 
  • puceblackC. Dogbe, Modeling crowds by the mean-field limit approach.   Mathematical and Computer Modelling, 52, (2010), 1506–1520
  • puceblackA. Lachapelle, J. Salomon and G. Turinici, Computation of Mean Field Equilibria in Economics, Math. Models, Methods in Applied Sciences, Vol 20, Issue 4, 2010, DOI: 10.1142/S0218202510004349
  • puceblackGabriel Y. Weintraub, Lanier Benkard, and Benjamin Van Roy, "Markov Perfect Industry Dynamics with Many Firms." Econometrica (Nov 2008): 1375-1411.
  • puceblackTao Lia, Ji-Feng Zhang, Decentralized tracking-type games for multi-agent systems with coupled ARXmodels: Asymptotic Nash equilibria, Automatica 44 (2008) 713-725
  • puceblackS. Adlakha and R. Johari . Mean field equilibrium in dynamic games with complementarities, IEEE Conference on Decision and Control (CDC), 2010,
  • puceblackHuibing Yin,   Mehta, P.G.,   Meyn, S.P.,   Shanbhag, U.V., Synchronization of coupled oscillators is a game, American Control Conference (ACC), 2010 
  • puceblackBingchang Wang and Ji-Feng Zhang. Mean field games for large population stochastic multi-agent systems with markov jumps. Proceedings of the 29th Chinese ControlConference, 4572-4577, Beijing, China, July 29-31 2010