arXiv:2605.29371math.OCcs.LG2026-05被引 1

用随机傅里叶U统计量高效求解核型平均场博弈,支持高维应用。

Kernel-based potential mean-field games with unbiased random Fourier $U$-statistics

  • 基于核MMD构造无偏估计,计算复杂度线性于批量大小。
  • 在特定条件下实现样本级几乎必然收敛,收敛速率可显式给出。
  • 适用于高维扩散过程与带异质性的群体协调问题,如电动车充电调度。

研究一类运行交互成本和终端目标成本均以再生核最大均值差异(MMD)惩罚表示的潜在平均场博弈,并开发了利用核结构的计算框架。两项成本均通过有限样本经验分布的随机傅里叶U统计量表示,具有无偏性且计算代价随批量大小线性增长。受控扩散的漂移项由神经网络参数化,通过随机梯度下降训练。对于该子类,在惩罚参数、随机特征数、样本量及优化容差满足耦合率条件时,证明了样本级几乎必然收敛定理及其显式几乎必然收敛速率。该框架包含核MMD惩罚的薛定谔桥问题作为交互成本趋零的特例。数值实验展示了方法在高达一百维的薛定谔桥问题以及考虑个体物理异质性的电动车充电协调问题中的表现,其中聚合需求拥堵成本代表群体层面的价格反馈竞争,终端MMD惩罚则用于调控截止时刻的荷电状态分布。

原文摘要 · Abstract (English)

We study the subclass of potential mean-field games in which the running interaction cost and the terminal target cost are both expressed through reproducing-kernel maximum mean discrepancy (MMD) penalties, and develop a computational framework that exploits this kernel structure. Both costs are estimated from finite-sample empirical distributions using a random Fourier U-statistic representation that is unbiased and has linear cost in the batch size. The drift of the controlled diffusion is parametrized by a neural network and trained via stochastic gradient descent. For this subclass we prove a sample-level almost-sure convergence theorem and an explicit almost-sure rate of convergence, under coupled rate conditions on the penalty parameter, the random-feature count, the sample size, and the optimization tolerance. The framework includes the kernel-MMD-penalty Schrödinger bridge problem as the special case of a vanishing interaction cost. Numerical experiments illustrate the method on the Schrödinger bridge problem in dimensions up to one hundred, and on an electric vehicle charging coordination problem with per-vehicle physical heterogeneity, where an aggregate-demand congestion cost represents price-feedback competition at the population level and the terminal MMD penalty shapes the state-of-charge distribution at the deadline.

平均场博弈核方法随机优化高维生成

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