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SUMMARY:Mean Field Games and the Control of Large Scale Systems: An Overvi
 ew - Peter E. Caines\, McGill University\, Montreal
DTSTART:20160720T103000Z
DTEND:20160720T113000Z
UID:TALK66876@talks.cam.ac.uk
CONTACT:Tim Hughes
DESCRIPTION:Mean Field Game (MFG)  theory provides tractable strategies fo
 r the decentralized control of large scale systems.  The power of the form
 ulation arises from the relative tractability of its infinite population M
 cKean-Vlasov (MV) Hamilton-Jacobi-Bellman  equations and the associated MV
 -Fokker-Planck-Kolmogorov  equations\, where these are linked by the distr
 ibution of the state of a generic agent\, otherwise known as the system's 
 mean field. The resulting decentralized feedback controls yield approximat
 e Nash equilibria and depend only upon an agent’s state and the mean fie
 ld.  Applications of MFG theory are being investigated within engineering\
 , finance\, economics and social dynamics\, while theoretical developments
  include existence and uniqueness theory for solutions to the MFG equation
 s\, major-minor (MM) agent systems containing asymptotically non-negligibl
 e agents\, non-linear estimation theory for MM-MFG systems\, and the compa
 rison of centralized (optimal) control and MFG control performance.
LOCATION: Cambridge University Engineering Department\, Lecture Room 1
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