This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the existence of a unique Nash Equilibrium to this GMFG, and explains that naively combining Q-learning with the fixed-point approach in classical MFGs yields unstable algorithms. It then proposes a Q-learning algorithm with Boltzmann policy (GMF-Q), with analysis of convergence property and computational complexity. The experiments on repeated Ad auction problems demonstrate that this GMF-Q algorithm is efficient and robust in terms of convergence and learning accuracy. Moreover, its performance is superior in convergence, stability, and learning ability, when compared with existing algorithms for multi-agent reinforcement learning.
@article{arxiv.1901.09585,
title = {Learning Mean-Field Games},
author = {Xin Guo and Anran Hu and Renyuan Xu and Junzi Zhang},
journal= {arXiv preprint arXiv:1901.09585},
year = {2021}
}