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Register a new userUnified Reinforcement Q-Learning for Mean Field Game and Control Problems
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Added by
Mathieu Lauri\\`ere
Publication date
2020
fields
Informatics Engineering
and research's language is
English
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We present a Reinforcement Learning (RL) algorithm to solve infinite horizon asymptotic Mean Field Game (MFG) and Mean Field Control (MFC) problems. Our approach can be described as a unified two-timescale Mean Field Q-learning: The emph{same} algorithm can learn either the MFG or the MFC solution by simply tuning the ratio of two learning parameters. The algorithm is in discrete time and space where the agent not only provides an action to the environment but also a distribution of the state in order to take into account the mean field feature of the problem. Importantly, we assume that the agent can not observe the populations distribution and needs to estimate it in a model-free manner. The asymptotic MFG and MFC problems are also presented in continuous time and space, and compared with classical (non-asymptotic or stationary) MFG and MFC problems. They lead to explicit solutions in the linear-quadratic (LQ) case that are used as benchmarks for the results of our algorithm.
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We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean-Vlasov type. Two numerical algorithms are provided based on deep learning techniques, one is to directly parameterize the optimal control using neural networks, the other is based on numerically solving the McKean-Vlasov forward anticipated backward stochastic differential equation (MV-FABSDE) system. In addition, we establish a necessary and sufficient stochastic maximum principle for this class of mean field control problems with delay based on the differential calculus on function of measures, as well as existence and uniqueness results for the associated MV-FABSDE system.
Mean field games (MFG) and mean field control problems (MFC) are frameworks to study Nash equilibria or social optima in games with a continuum of agents. These problems can be used to approximate competitive or cooperative games with a large finite number of agents and have found a broad range of applications, in particular in economics. In recent years, the question of learning in MFG and MFC has garnered interest, both as a way to compute solutions and as a way to model how large populations of learners converge to an equilibrium. Of particular interest is the setting where the agents do not know the model, which leads to the development of reinforcement learning (RL) methods. After reviewing the literature on this topic, we present a two timescale approach with RL for MFG and MFC, which relies on a unified Q-learning algorithm. The main novelty of this method is to simultaneously update an action-value function and a distribution but with different rates, in a model-free fashion. Depending on the ratio of the two learning rates, the algorithm learns either the MFG or the MFC solution. To illustrate this method, we apply it to a mean field problem of accumulated consumption in finite horizon with HARA utility function, and to a traders optimal liquidation problem.
Concave Utility Reinforcement Learning (CURL) extends RL from linear to concave utilities in the occupancy measure induced by the agents policy. This encompasses not only RL but also imitation learning and exploration, among others. Yet, this more general paradigm invalidates the classical Bellman equations, and calls for new algorithms. Mean-field Games (MFGs) are a continuous approximation of many-agent RL. They consider the limit case of a continuous distribution of identical agents, anonymous with symmetric interests, and reduce the problem to the study of a single representative agent in interaction with the full population. Our core contribution consists in showing that CURL is a subclass of MFGs. We think this important to bridge together both communities. It also allows to shed light on aspects of both fields: we show the equivalence between concavity in CURL and monotonicity in the associated MFG, between optimality conditions in CURL and Nash equilibrium in MFG, or that Fictitious Play (FP) for this class of MFGs is simply Frank-Wolfe, bringing the first convergence rate for discrete-time FP for MFGs. We also experimentally demonstrate that, using algorithms recently introduced for solving MFGs, we can address the CURL problem more efficiently.
In recent years, reinforcement learning and learning-based control -- as well as the study of their safety, crucial for deployment in real-world robots -- have gained significant traction. However, to adequately gauge the progress and applicability of new results, we need the tools to equitably compare the approaches proposed by the controls and reinforcement learning communities. Here, we propose a new open-source benchmark suite, called safe-control-gym. Our starting point is OpenAIs Gym API, which is one of the de facto standard in reinforcement learning research. Yet, we highlight the reasons for its limited appeal to control theory researchers -- and safe control, in particular. E.g., the lack of analytical models and constraint specifications. Thus, we propose to extend this API with (i) the ability to specify (and query) symbolic models and constraints and (ii) introduce simulated disturbances in the control inputs, measurements, and inertial properties. We provide implementations for three dynamic systems -- the cart-pole, 1D, and 2D quadrotor -- and two control tasks -- stabilization and trajectory tracking. To demonstrate our proposal -- and in an attempt to bring research communities closer together -- we show how to use safe-control-gym to quantitatively compare the control performance, data efficiency, and safety of multiple approaches from the areas of traditional control, learning-based control, and reinforcement learning.
The goal of this paper is to study the long time behavior of solutions of the first-order mean field game (MFG) systems with a control on the acceleration. The main issue for this is the lack of small time controllability of the problem, which prevents to define the associated ergodic mean field game problem in the standard way. To overcome this issue, we first study the long-time average of optimal control problems with control on the acceleration: we prove that the time average of the value function converges to an ergodic constant and represent this ergodic constant as a minimum of a Lagrangian over a suitable class of closed probability measure. This characterization leads us to define the ergodic MFG problem as a fixed-point problem on the set of closed probability measures. Then we also show that this MFG ergodic problem has at least one solution, that the associated ergodic constant is unique under the standard mono-tonicity assumption and that the time-average of the value function of the time-dependent MFG problem with control of acceleration converges to this ergodic constant.
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