Learning in mean field games: The fictitious play
1 Université Paris-Dauphine, PSL Research University, Ceremade, Place du Maréchal de Lattre de Tassigny 75775 Paris cedex 16, France.
2 Université Paris-Dauphine, PSL Research University, Lamsade, Place du Maréchal de Lattre de Tassigny 75775 Paris cedex 16, France.
Received: 7 July 2015
Revised: 27 November 2015
Accepted: 7 January 2016
Mean Field Game systems describe equilibrium configurations in differential games with infinitely many infinitesimal interacting agents. We introduce a learning procedure (similar to the Fictitious Play) for these games and show its convergence when the Mean Field Game is potential.
Mathematics Subject Classification: 35Q91 / 35F21 / 49L25
Key words: Mean field games / learning
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