Work

A constraint-preserving neural network approach for mean-field games equilibria

Year: 2025

Type: article

Abstract: Neural network-based methods have demonstrated effectiveness in solving high-dimensional Mean-Field Games (MFG) equilibria, yet ensuring mathematically consistent density-coupled evolution remains a major challenge. This paper proposes the NF-MKV Net, a neural network approach that integrates process-regularized normalizing flow (NF) with state-policy-connected time-series neural networks to solve MKV FBSDEs and their associated fixed-point formulations of MFG equilibria. The method first reformulates MFG equilibria as MKV FBSDEs, embedding density evolution into equation coefficients within a probabilistic framework. Neural networks are then employed to approximate value functions and their gradients. To enforce volumetric invariance and temporal continuity, NF architectures impose loss constraints on each density transfer function. Theoretical analysis establishes the algorithm’s validity, while numerical experiments across various scenarios including traffic flow, crowd motion, and obstacle avoidance demonstrate its capability in maintaining density consistency and temporal smoothness.

Source: Annals of Physics

DOI: 10.1016/j.aop.2025.170027

Authors: Jinwei Liu, Lu Ren, Wang Yao, Xiao Zhang

Institution: Beihang University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,160

Funder: National Major Science and Technology Projects of China