Fictitious Play for Mean Field Games: Continuous Time Analysis and Applications
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In this paper, we deepen the analysis of continuous time Fictitious Play learning algorithm to the consideration of various finite state Mean Field Game settings (finite horizon, γ-discounted), allowing in particular for the introduction of an additional common noise. We first present a theoretical convergence analysis of the continuous time Fictitious Play process and prove that the induced exploitability decreases at a rate O(1/t). Such analysis emphasizes the use of exploitability as a relevant metric for evaluating the convergence towards a Nash equilibrium in the context of Mean Field Games. These theoretical contributions are supported by numerical experiments provided in either model-based or model-free settings. We provide hereby for the first time converging learning dynamics for Mean Field Games in the presence of common noise.
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