We study large population stochastic dynamic games where each agent receives influences from multi-classes of agents according to intra- and inter-subpopulation cost coupling. The NCE principle developed in our previous works gave decentralized asymptotic Nash strategies; however, its solubility depends on a conservative fixed point analysis which does not lead to easy computation of the solution. In this paper we apply a different algebraic approach via a state space augmentation, and it is convenient for practical computation involving first a set of algebraic Riccati equations subject to consistency constraints and next a set of ordinary differential equations.

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Persistent URL dx.doi.org/10.1109/CDC.2009.5400447
Conference 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Citation
Huang, M. (2009). An algebraic approach for the NCE principle with massive subpopulations. Presented at the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009. doi:10.1109/CDC.2009.5400447