论文标题
学习具有一般分布依赖性的高维McKean-Vlasov向前的随机微分方程
Learning High-Dimensional McKean-Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence
论文作者
论文摘要
平均场控制和平均场游戏中的核心问题之一是解决相应的McKean-Vlasov前向后随机微分方程（MV-FBSDES）。大多数现有方法是针对特殊情况量身定制的，在这种情况下，平均场相互作用仅取决于期望或其他时刻，因此当平均场相互作用具有完全分布依赖性时，无法解决问题。 在本文中，我们提出了一种新颖的深度学习方法，用于以一般形式的平均场相互作用计算MV-FBSDE。具体而言，我们基于虚拟游戏，将问题重复验证为重复求解具有明确系数功能的标准FBSDE。这些系数功能用于近似具有完全分布依赖性的MV-FBSDES模型系数，并通过使用从上次迭代的FBSDE解决方案中模拟的培训数据来解决另一个监督学习问题。我们使用深层神经网络来求解标准的BSDE和近似系数功能，以求解高维MV-FBSDE。在对学习功能的适当假设下，我们证明了所提出的方法的收敛性通过使用先前在[HAN，HU和LONG，ARXIV：2104.12036]中开发的一类积分概率指标来免受维数（COD）的诅咒。证明的定理在高维度中显示了该方法的优势。我们介绍了高维MV-FBSDE问题中的数值性能，其中包括众所周知的Cucker-Smale模型的平均场景示例，其成本取决于正向过程的完整分布。
One of the core problems in mean-field control and mean-field games is to solve the corresponding McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). Most existing methods are tailored to special cases in which the mean-field interaction only depends on expectation or other moments and thus inadequate to solve problems when the mean-field interaction has full distribution dependence. In this paper, we propose a novel deep learning method for computing MV-FBSDEs with a general form of mean-field interactions. Specifically, built on fictitious play, we recast the problem into repeatedly solving standard FBSDEs with explicit coefficient functions. These coefficient functions are used to approximate the MV-FBSDEs' model coefficients with full distribution dependence, and are updated by solving another supervising learning problem using training data simulated from the last iteration's FBSDE solutions. We use deep neural networks to solve standard BSDEs and approximate coefficient functions in order to solve high-dimensional MV-FBSDEs. Under proper assumptions on the learned functions, we prove that the convergence of the proposed method is free of the curse of dimensionality (CoD) by using a class of integral probability metrics previously developed in [Han, Hu and Long, arXiv:2104.12036]. The proved theorem shows the advantage of the method in high dimensions. We present the numerical performance in high-dimensional MV-FBSDE problems, including a mean-field game example of the well-known Cucker-Smale model whose cost depends on the full distribution of the forward process.
