A hybrid deep learning method for finite-horizon mean-field game problems

Yu Zhang, Zhuo Jin, Jiaqin Wei*, George Yin

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

This paper develops a new deep learning algorithm to solve a class of finite-horizon mean-field games. The proposed hybrid algorithm uses Markov chain approximation method combined with a stochastic approximation-based iterative deep learning algorithm. Under the framework of finite-horizon mean-field games, the induced measure and Monte-Carlo algorithm are adopted to establish the iterative mean-field interaction in Markov chain approximation method and deep learning, respectively. The Markov chain approximation method plays a key role in constructing the iterative algorithm and estimating an initial value of a neural network, whereas stochastic approximation is used to find accurate parameters in a bounded region. The convergence of the hybrid algorithm is proved; two numerical examples are provided to illustrate the results.

Original languageEnglish
Article number112384
Pages (from-to)1-9
Number of pages9
JournalAutomatica
Volume179
DOIs
Publication statusPublished - Sept 2025

Keywords

  • Deep learning
  • Markov chain approximation
  • Mean-field games
  • Neural network
  • Stochastic approximation

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