Monotone Inclusion Approach to Weakly Monotone Discrete-Time Finite-Horizon Mean-Field Games

Abstract

We revisit the problem of computing mean-field equilibria (MFEs) in discrete-time, monotone, finite-horizon mean-field games (MFGs). We show that, when the transition kernel is independent of the state-measure term and the reward function satisfies the usual weak monotonicity condition and is Lipschitz continuous, anchored proximal gradient descent methods can be used to compute a monotone MFE. We also establish last-iterate convergence results for these methods. Our approach relies on formulating the computation problem as an optimization problem over the space of occupation measures. Using this formulation, we show that the problem is equivalent to a class of constrained Lipschitz monotone inclusion problems. We then apply iterative methods for this monotone inclusion formulation to derive a tractable algorithm. The resulting algorithm achieves a convergence rate of \(O(1/\sqrt{T})\) after \(T\) iterations, without requiring any regularization. This rate holds even in the absence of a uniqueness assumption for the corresponding MFE.