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Convergence analysis of controlled particle systems arising in deep learning: from finite to infinite sample size
Apr 08, 2024
This paper deals with a class of neural SDEs and studies the limiting behavior of the associated sampled optimal control problems as the sample size grows to infinity. The neural SDEs with N samples can be linked to the N-particle systems with centralized control. We analyze the Hamilton--Jacobi--Bellman equation corresponding to the N-particle system and establish regularity results which are uniform in N. The uniform regularity estimates are obtained by the stochastic maximum principle and the analysis of a backward stochastic Riccati equation. Using these uniform regularity results, we show the convergence of the minima of objective functionals and optimal parameters of the neural SDEs as the sample size N tends to infinity. The limiting objects can be identified with suitable functions defined on the Wasserstein space of Borel probability measures. Furthermore, quantitative algebraic convergence rates are also obtained.
Decoding Mean Field Games from Population and Environment Observations By Gaussian Processes
Dec 24, 2023This paper presents a Gaussian Process (GP) framework, a non-parametric technique widely acknowledged for regression and classification tasks, to address inverse problems in mean field games (MFGs). By leveraging GPs, we aim to recover agents' strategic actions and the environment's configurations from partial and noisy observations of the population of agents and the setup of the environment. Our method is a probabilistic tool to infer the behaviors of agents in MFGs from data in scenarios where the comprehensive dataset is either inaccessible or contaminated by noises.