Game on Random Environment, Mean-field Langevin System and Neural Networks

04/06/2020 ∙ by Giovanni Conforti, et al. ∙ 0

In this paper we study a type of games regularized by the relative entropy, where the players' strategies are coupled through a random environment variable. Besides the existence and the uniqueness of equilibria of such games, we prove that the marginal laws of the corresponding mean-field Langevin systems can converge towards the games' equilibria in different settings. As applications, the dynamic games can be treated as games on a random environment when one treats the time horizon as the environment. In practice, our results can be applied to analysing the stochastic gradient descent algorithm for deep neural networks in the context of supervised learning as well as for the generative adversarial networks.

READ FULL TEXT
POST COMMENT

Comments

There are no comments yet.

Authors

This week in AI

Get the week's most popular data science and artificial intelligence research sent straight to your inbox every Saturday.