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

Huang , Minyi; Malhame, Roland P; Caines, Peter


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...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Conference paper
Source: Proceedings of the 45th IEEE Conference on Decision and Control


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