Kullback-Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
TL;DR
An entropic variant of Korpelevich's extragradient algorithm---the Kullback--Leibler Mirror-Prox method---in which Euclidean projections are replaced by relative-entropy proximal steps, and a KL-type Tikhonov regularization that selects the equilibrium minimizing relative entropy with respect to a reference measure is developed.
Abstract
We study the computation of static mean-field equilibria on a compact state space by formulating the equilibrium condition as a variational inequality over probability measures. We propose an entropic variant of Korpelevich's extragradient algorithm---the Kullback--Leibler Mirror-Prox method---in which Euclidean projections are replaced by relative-entropy proximal steps. Each half-step is therefore an explicit exponential reweighting of the current measure, implemented on a finite state-space discretization. Under Lasry--Lions monotonicity and continuity assumptions, we prove convergence of mesh-refined ergodic averages and obtain finite-iteration Minty-residual and approximate-equilibrium bounds that jointly quantify iteration and discretization errors. Under strong monotonicity, we derive metric convergence rates for the last, best, and averaged iterates. We also develop a KL-type Tikhonov regularization that selects the equilibrium minimizing relative entropy with respect to a reference measure. The framework applies to potential and nonpotential cost operators and does not require differentiability or convexity of the cost in the individual state.