arXiv:2502.11506cs.LGmath.OC2025-02被引 8

用高斯过程解决复杂群体行为逆问题,数据少也能建模。

Learning Surrogate Potential Mean Field Games via Gaussian Processes: A Data-Driven Approach to Ill-Posed Inverse Problems

  • 用高斯过程构建代理模型,保持优化可解性
  • 在数据稀疏时仍能还原群体行为与环境特征
  • 适合数据不全或噪声大的真实场景研究者

平均场博弈(MFG)描述大规模交互个体的集体行为。本文针对潜在型MFG中的不适定逆问题,旨在从有限、含噪的测量与部分观测中恢复群体分布、动量及环境设置。此类问题因多种参数配置可能产生相似观测而难以唯一求解。尽管如此,这类问题在实际中至关重要,尤其当数据稀疏或结构未完全确定时。我们提出两种基于高斯过程(GP)的框架:一种为极小-极大公式,另一种为双层优化方法。前者利用高斯过程的线性与参数化特性,保持凸-凹性质,支持标准凸优化算法;后者采用基于梯度下降的算法,并设计两种计算外层梯度的方法:第一种结合内层MFG求解器与自动微分,第二种采用伴随法独立于内层求解器计算梯度。数值实验表明,当先验信息充分时,可准确恢复未知参数;若先验不足,虽问题不适定,但所提框架仍能生成与观测高度吻合的代理MFG模型。

原文摘要 · Abstract (English)

Mean field games (MFGs) describe the collective behavior of large populations of interacting agents. In this work, we tackle ill-posed inverse problems in potential MFGs, aiming to recover the agents' population, momentum, and environmental setup from limited, noisy measurements and partial observations. These problems are ill-posed because multiple MFG configurations can explain the same data, or different parameters can yield nearly identical observations. Nonetheless, they remain crucial in practice for real-world scenarios where data are inherently sparse or noisy, or where the MFG structure is not fully determined. Our focus is on finding surrogate MFGs that accurately reproduce the observed data despite these challenges. We propose two Gaussian process (GP)-based frameworks: an inf-sup formulation and a bilevel approach. The choice between them depends on whether the unknown parameters introduce concavity in the objective. In the inf-sup framework, we use the linearity of GPs and their parameterization structure to maintain convex-concave properties, allowing us to apply standard convex optimization algorithms. In the bilevel framework, we employ a gradient-descent-based algorithm and introduce two methods for computing the outer gradient. The first method leverages an existing solver for the inner potential MFG and applies automatic differentiation, while the second adopts an adjoint-based strategy that computes the outer gradient independently of the inner solver. Our numerical experiments show that when sufficient prior information is available, the unknown parameters can be accurately recovered. Otherwise, if prior information is limited, the inverse problem is ill-posed, but our frameworks can still produce surrogate MFG models that closely match observed data.

平均场博弈逆问题高斯过程数据驱动

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