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Joint Seminar

between

Department of Information Engineering

and

Department of Systems Engineering and Engineering Management

The Chinese University of Hong Kong

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Title: Nash Certainty Equivalence in Large Population Stochastic Dynamic Games:

Connections with the Physics of Interacting Particle Systems

Speaker: Peter E. Caines, Professor

Department of ECE and Centre for Intelligent Machines

McGill University, Montreal

Minyi Huang, Research Fellow

Department of Information Engineering

School of Information Sciences and Engineering

The Australian National University

Date : November 1st, 2006 (Wednesday)

Time : 4:30p.m. - 5:30p.m.

Venue : Room 513

MMW Engineering Building(Engineering Building Complex Phase 2)

CUHK

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Abstract:

We consider large population stochastic dynamic games of the form

which occur, for instance, in decentralized power control in wireless

communication systems. Beginning with the simpler class of LQG

problems, it is shown by fixed point arguments that the

dynamics of each individual of the mass can be modeled by

the McKean-Vlasov equation found in the statistical physics of

interacting particle systems.

Based upon this large population modeling, a so-called Nash

Certainty Equivalence (NCE) Methodology is introduced for

specifying the feedback control law of a given agent

within the Nash equilibrium setting. The crucial new feature

in the controlled agent setting is that each individual's

control law is computed via a generalized Hamilton-Jacobi-Bellman

equation where this equation includes a distribution function

representing the behavior of the mass of the other (self-optimizing)

agents.

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Biography:

Peter Caines received the BA degree in mathematics from Oxford

University in 1967, and the PhD degree in systems and control theory

in 1970 from Imperial College, University of London. Since 1980 he has

been with McGill University, Montreal, where he is James McGill

Professor and Macdonald Professor in the Department of Electrical and

Computer Engineering; he was elected to the Royal Society of Canada in

May, 2003. Peter Caines is the author of the text Linear Stochastic

Systems, John Wiley, 1988; his research interests lie in the areas of

stochastic systems and hierarchical, hybrid and discrete event

systems. In 2000 the adaptive control paper he coauthored with

G. C. Goodwin and P. J. Ramadge (IEEE Transactions on Automatic

Control, 1980) was recognized by the IEEE Control Systems Society as

one of the 25 seminal papers of the 20th century in control theory.

Minyi Huang obtained his Ph.D. from Department of Electrical and

Computer Engineering <http://www.mcgill.ca/ece/>, McGill University

<http://www.mcgill.ca>, Montreal, in July 2003. His research interests

include stochastic system control and optimization, game theory,

optimization and collaborative signal processing in networked systems.

He was a Research Fellow at University of Melbourne from February 2004

until March 2006. He is currently a Research Fellow in the Department

of Information Engineering, Research School of Information Sciences and

Engineering, The Australian National University. Dr Huang also holds a

M. Sc. degree from the Institute of Systems Science, the Chinese Academy

of Sciences, Beijing, and a B. Sc. degree from Shandong University, both

in the area of systems and control.

*********************** ALL ARE WELCOME ************************

Enquiries: Mr. Peixiang Zhao or Prof. Jeffrey Xu Yu,

Department of Systems Engineering and Engineering Management

CUHK

Website: http://www.se.cuhk.edu.hk/~seg5810

Email: seg5810@se.cuhk.edu.hk

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