Sina Sanjari (Royal Military College of Canada)

Math & Stats Department Colloquium
Friday, November 29th, 2024

Time: 2:30 p.m.  Place: Jeffery Hall, Room 234

Speaker: Sina Sanjari (Royal Military College of Canada)

Title: Optimality of Symmetric Policies under Decentralized Information and Controlled Measure

Abstract: We consider multi-agent stochastic systems comprising a finite number of decision-makers and their mean-field limits. We focus on stochastic exchangeable systems with centralized, mean-field sharing, and fully decentralized information structures. For finite population systems, we show that an optimal policy exists that is exchangeable (permutation invariant). We then show that a sequence of exchangeable optimal policies for a finite population setting converges to an optimal policy for the infinite population problem, which is conditionally symmetric (identical), independent, and decentralized. This symmetry in optimal decision-making proves the optimality of a representative single-agent problem with controlled probability measures. Finally, we discuss connections to the measure-valued Markov decision processes and a dynamic programming approach.