Computing and Learning Stationary Mean Field Equilibria with Low-Dimensional Interactions: Algorithms and Applications

Abstract

Mean field equilibrium (MFE) has emerged as a computationally tractable solution concept for large dynamic games. However, computing MFE remains challenging due to nonlinearities and the absence of contraction properties, limiting its reliability for counterfactual analysis and comparative statics. This paper studies dynamic models in which agents interact through a small number of functions of the population distribution, with particular emphasis on the scalar case. Such low-dimensional interactions naturally arise in a wide range of applications in economics and operations. The main contribution of this paper is to introduce iterative algorithms that leverage this structure and have provide global convergence guarantees for computing and learning MFE under mild assumptions. Unlike existing approaches, our algorithms do not require monotonicity or contraction properties. We also provide model-free algorithms that learn an approximate MFE from simulation using reinforcement learning methods, without requiring prior knowledge of payoff or transition functions. Beyond computation, we establish existence of stationary MFE for non-compact state spaces. For scalar interactions, we also derive analytical comparative statics without requiring monotonicity of the equilibrium mapping. We apply our methods to classical models of dynamic competition, including capacity competition; to heterogeneous-agent macroeconomic models; and to models motivated by online marketplaces and learning, including inventory competition, ridesharing, and social learning. The applications illustrate how changes in market parameters affect equilibrium outcomes and how the algorithms can be used for reliable counterfactual analysis.