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       Department of Systems Engineering and Engineering Management



                          The Chinese University of Hong Kong



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Date: Wednesday, May 21, 15:00 pm – 16:00 pm



Venue: ERB 513, The Chinese University of Hong Kong



Speaker: Professor Zhiping Chen, Xi'an Jiaotong University



Title: Actor-Critic Reinforcement Learning Algorithms for Mean Field 

Games in Continuous time, State and Action Spaces



Abstract: We investigate mean field games in continuous time, state 

and action spaces with an infinite number of agents, where each agent 

aims to maximize its expected cumulative reward. Using the technique 

of randomized policies, we show policy evaluation and policy gradient 

are equivalent to the martingale conditions of a process by focusing 

on a representative agent. Then combined with fictitious game, we 

propose online and offline actor-critic algorithms for solving 

continuous mean field games that update the value function and policy 

alternatively under the given population state distribution. We 

demonstrate through numerical experiments that our proposed algorithms 

can converge to the mean field equilibrium quickly and stably.



Bio: Dr. Zhiping Chen is a Professor of Operations Research and 

Finance at School of Mathematics and Statistics, Xi'an Jiaotong 

University, is vice director of Tianyuan Mathematical Center in 

Northwest China. His research interests include reinforcement 

learning, machine learning, multistage stochastic programming, 

distributionally robust optimization, risk measure and insurance. He 

serves as an Editorial Board Member of OR Spectrum, Journal of Xi'an 

Jiaotong University and Chinese Journal of Engineering Mathematics, 

and as standing committee members of a few academic societies like the 

Operations Research Society of China. He has chaired five projects 

from the National Natural Science Foundation of China, one project 

from the National Key R\&D Program of China and quite a few industrial 

projects. He has published more than 120 papers in journals such as 

MP, MOR, SIAM J Optim, JOTA, JOGO, EJOR, AOR, JB F, JEDC, IME, SAJ and 

top meetings like AAAI.