Two system transformation data-driven algorithms for linear quadratic mean-field games

Abstract

This paper studies a class of continuous-time linear quadratic (LQ) mean-field game problems. We develop two system transformation data-driven algorithms to approximate the decentralized strategies of the LQ mean-field games. The main feature of the obtained data-driven algorithms is that they eliminate the requirement on all system matrices. First, we transform the original stochastic system into an ordinary differential equation (ODE). Subsequently, we construct some Kronecker product-based matrices by the input/state data of the ODE. By virtue of these matrices, we implement a model-based policy iteration (PI) algorithm and a model-based value iteration (VI) algorithm in a data-driven fashion. In addition, we also demonstrate the convergence of these two data-driven algorithms under some mild conditions. Finally, we illustrate the practicality of our algorithms via two numerical examples.