Alternating the population and control neural networks to solve high-dimensional stochastic mean-field games.

We present APAC-Net, an alternating population and agent control neural network for solving stochastic mean-field games (MFGs). Our algorithm is geared toward high-dimensional instances of MFGs that are not approachable with existing solution methods. We achieve this in two steps. First, we take advantage of the underlying variational primal-dual structure that MFGs exhibit and phrase it as a convex-concave saddle-point problem. Second, we parameterize the value and density functions by two neural networks, respectively. By phrasing the problem in this manner, solving the MFG can be interpreted as a special case of training a generative adversarial network (GAN). We show the potential of our method on up to 100-dimensional MFG problems.

A machine learning framework for solving high-dimensional mean field game and mean field control problems.

Mean field games (MFG) and mean field control (MFC) are critical classes of multiagent models for the efficient analysis of massive populations of interacting agents. Their areas of application span topics in economics, finance, game theory, industrial engineering, crowd motion, and more. In this paper, we provide a flexible machine learning framework for the numerical solution of potential MFG and MFC models. State-of-the-art numerical methods for solving such problems utilize spatial discretization that leads to a curse of dimensionality. We approximately solve high-dimensional problems by combining Lagrangian and Eulerian viewpoints and leveraging recent advances from machine learning. More precisely, we work with a Lagrangian formulation of the problem and enforce the underlying Hamilton-Jacobi-Bellman (HJB) equation that is derived from the Eulerian formulation. Finally, a tailored neural network parameterization of the MFG/MFC solution helps us avoid any spatial discretization. Our numerical results include the approximate solution of 100-dimensional instances of optimal transport and crowd motion problems on a standard work station and a validation using a Eulerian solver in two dimensions. These results open the door to much-anticipated applications of MFG and MFC models that are beyond reach with existing numerical methods.

Entropy Dissipation for Degenerate Stochastic Differential Equations via Sub-Riemannian Density Manifold.

We studied the dynamical behaviors of degenerate stochastic differential equations (SDEs). We selected an auxiliary Fisher information functional as the Lyapunov functional. Using generalized Fisher information, we conducted the Lyapunov exponential convergence analysis of degenerate SDEs. We derived the convergence rate condition by generalized Gamma calculus. Examples of the generalized Bochner's formula are provided in the Heisenberg group, displacement group, and Martinet sub-Riemannian structure. We show that the generalized Bochner's formula follows a generalized second-order calculus of Kullback-Leibler divergence in density space embedded with a sub-Riemannian-type optimal transport metric.

Mean field control problems for vaccine distribution.

With the invention of the COVID-19 vaccine, shipping and distributing are crucial in controlling the pandemic. In this paper, we build a mean-field variational problem in a spatial domain, which controls the propagation of pandemics by the optimal transportation strategy of vaccine distribution. Here, we integrate the vaccine distribution into the mean-field SIR model designed in Lee W, Liu S, Tembine H, Li W, Osher S (2020) Controlling propagation of epidemics via mean-field games. arXiv preprint arXiv:2006.01249. Numerical examples demonstrate that the proposed model provides practical strategies for vaccine distribution in a spatial domain.