Abstract:We study optimal control of a system with multiple decision makers who share a common hidden state and receive fully decentralized observations through identical channels. The dynamics of the hidden state and the cost incurred by the agents depend on the agents' actions only through their empirical distribution. In the limit problem with infinitely many agents, the problem reduces to a single agent control problem where the agent affects the hidden state dynamics via the conditional law of the actions given the past values of the hidden state process. We formulate this problem as a deterministic measure valued control problem over the space of policies and provide a dynamic programming recursion.
We first show that for the limiting problem randomization over the control actions is necessary for optimality. However, randomization over the selection of policies (i.e., mixture policies) is not required. We then show that the optimal symmetric policies designed for the infinite population problem are near optimal for the finite population problem.
In particular, we establish convergence rates that decay with number of agents as $\frac{1}{\sqrt{N}}$, and grow exponentially with the memory length used in the policy.
From: Ali Devran Kara [view email]
[v1]
Wed, 17 Jun 2026 22:32:17 UTC (69 KB)
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