Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown L2-Disturbance


This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a representative agent in the limiting model views the drift uncertainty as an adversarial player. By including the mean field… (More)
DOI: 10.1137/15M1014437