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Policy Mirror Ascent for Efficient and Independent Learning in Mean Field Games

Yardim Ali Batuhan
Semih Çaycı
Matthieu Geist
Niao He
International Conference on Machine Learning (ICML) (2023)
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Mean-field games have been used as a theoretical tool to obtain an approximate Nash equilibrium for symmetric and anonymous $N$-player games in literature. However, limiting applicability, existing theoretical results assume variations of a ``population generative model'', which allows arbitrary modifications of the population distribution by the learning algorithm. Instead, we show that $N$ agents running policy mirror ascent converge to the Nash equilibrium of the regularized game within $\tilde{\mathcal{O}}(\varepsilon^{-2})$ samples from a single sample trajectory without a population generative model, up to a standard $\mathcal{O}(\frac{1}{\sqrt{N}})$ error due to the mean field. Taking a divergent approach from literature, instead of working with the best-response map we first show that a policy mirror ascent map can be used to construct a contractive operator having the Nash equilibrium as its fixed point. Next, we prove that conditional TD-learning in $N$-agent games can learn value functions within $\tilde{\mathcal{O}}(\varepsilon^{-2})$ time steps. These results allow proving sample complexity guarantees in the oracle-free setting by only relying on a sample path from the $N$ agent simulator. Furthermore, we demonstrate that our methodology allows for independent learning by $N$ agents with finite sample guarantees.

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