arXiv subjects

Grégoire Lambrecht

Publications and source records attributed to Grégoire Lambrecht.

4 recordsLinked to original sources

arXiv2026

Inverse Problems for Costs and Controls in LQG MFGs via Mean Field Trajectories

This paper investigates inverse problems for Linear-Quadratic-Gaussian (LQG) Mean Field Games (MFGs) based entirely on the observation of mean-covariance trajectories. We address three sequential challenges: identifying the optimal control for observed initializations, determining the control for arbitrary initializations, and recovering consistent cost parameters. After establishing the existence and uniqueness of the forward Nash equilibrium under mild hypotheses, we analyze the injectivity of the parameter-to-trajectory mapping, demonstrating that it is inherently non-injective and providing sufficient conditions for parameter equivalence. We prove that while the optimal control is locally identifiable for observed initializations under minimal assumptions, global identifiability requires a deeper structural recovery of the game's costs. To bridge this gap, we propose a constructive semidefinite programming method to infer cost parameters that are strictly consistent with the observed population dynamics. Numerical experiments illustrate this method.

math.OC↗

arXiv2026

Neural Parameter Calibration for Finite-State Mean Field Games

Mean field games efficiently approximate a very large population of strategic agents. While these games can aid the understanding of complex systems, their deployment in real-world settings is challenged by the specification of their parameters: mean field games (MFGs) often involve hidden preferences, constraints, and interactions that can rarely be theoretically derived or directly observed. To address this gap, we present a neural network-based framework for learning parametric, finite-state MFGs from observed population dynamics. To do so, we formulate the parameter calibration as an inverse problem and use implicit differentiation to backpropagate through the games' equilibrium. The resulting approach is fully differentiable and enables us to estimate flexible trajectory-wise parameter paths, including state- and time-dependent specifications without requiring observations of the individual agents' actions or rewards. We provide a proof for the exactness of the gradient computation in a discrete-time formulation. We validate our framework through numerical experiments across four systems of increasing complexity, ranging from synthetic linear-quadratic benchmarks to real-world urban mobility datasets.

cs.GT↗

arXiv2026

Population-Aware Imitation Learning in Mean-field Games with Common Noise

Mean Field Games (MFGs) provide a powerful framework for modeling the collective behavior of large populations of interacting agents. In this paper, we address the problem of Imitation Learning (IL) in MFGs subject to common noise, where the population distribution evolves stochastically. This stochasticity compels agents to adopt population-aware policies to respond to aggregate shocks. We formulate two distinct learning objectives: recovering a Nash equilibrium and maximizing performance against an expert population. We investigate two imitation proxies: Behavioral Cloning (BC) and Adversarial (ADV) divergence. We then establish finite-sample error bounds showing that minimizing these proxies effectively controls both the policy's exploitability and its performance gap relative to the expert. Furthermore, we propose a numerical framework using generalized Fictitious Play and Deep Learning to compute expert population-aware policies. Through experiments on three environments we demonstrate that standard population-unaware policies fail to capture the equilibrium dynamics. Our results highlight that learning population-aware policies is crucial to avoid being misled by the randomness inherent in common noise.

cs.LG↗

arXiv2025

Discrete-Time Mean Field Type Games: Probabilistic Setup

We introduce a general probabilistic framework for discrete-time, infinite-horizon discounted Mean Field Type Games (MFTGs) with both global common noise and team-specific common noises. In our model, agents are allowed to use randomized actions, both at the individual level and at the team level. We formalize the concept of Mean Field Markov Games (MFMGs) and establish a connection between closed-loop policies in MFTGs and Markov policies in MFMGs through different layers of randomization. By leveraging recent results on infinite-horizon discounted games with infinite compact state-action spaces, we prove the existence of an optimal closed-loop policy for the original MFTG when the state spaces are at most countable and the action spaces are general Polish spaces. We also present an example satisfying our assumptions, called Mean Field Drift of Intentions, where the dynamics are strongly randomized, and we establish the existence of a Nash equilibrium using our theoretical results.

math.OC↗