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 modelling, 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
equation where this equation  includes a distribution function
representing the behaviour of the mass of the other (self-optimizing)
agents.

Work with Minyi Huang, ANU, Canberra,  and  Roland Malhame, Ecole Poly.
and GERAD, Mtl.