Computational Mean-field Games: From Conventional Methods to Deep Generative Models
Presenter
March 12, 2024
Abstract
Mean field game (MFG) problems study how a large number of similar rational agents make strategic movements to minimize their costs. They have recently gained great attention due to their connection to various problems, including optimal transport, gradient flow, deep generative models, as well as reinforcement learning. In this talk, I will elaborate our recent computational efforts on MFGs. I will start with a low-dimensional setting, employing conventional discretization and optimization methods, delving into the convergence results of our proposed approach. Afterwards, I will extend my discussion to high-dimensional problems by bridging the trajectory representation of MFG with a special type of deep generative model—normalizing flows. This connection not only helps solve high-dimensional MFGs but also provides a way to improve the robustness of normalizing flows. If time permits, I will further address the extension of these methods to Riemannian manifolds in low-dimensional and higher-dimensional setting, respectively.