2021/02/28 by Julien Pérolat, Sarah Perrin, Perolat, Julien +13 · 2 citations
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Artificial Intelligence (cs.AI) #Artificial Intelligence in Games #FOS: Computer and information sciences #Reinforcement Learning in Robotics
paper · pdf · doi:10.48550/arxiv.2103.00623
openalex publication_date 2021/02/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We address scaling up equilibrium computation in Mean Field Games (MFGs) using Online Mirror Descent (OMD). We show that continuous-time OMD provably converges to a Nash equilibrium under a natural and well-motivated set of monotonicity assumptions. This theoretical result nicely extends to multi-population games and to settings involving common noise. A thorough experimental investigation on various single and multi-population MFGs shows that OMD outperforms traditional algorithms such as Fictitious Play (FP). We empirically show that OMD scales up and converges significantly faster than FP by solving, for the first time to our knowledge, examples of MFGs with hundreds of billions states. This study establishes the state-of-the-art for learning in large-scale multi-agent and multi-population games.