A Globally Convergent Flow for Time-Dependent Mean Field Games and a Solver-Agnostic Framework for Inverse Problems
Mean field games (MFGs) describe the limiting behavior of large populations of strategically interacting agents. This paper addresses two numerical challenges for MFGs: globally convergent forward solvers and solver-agnostic methods for inverse problems. For the forward problem, we extend the Hessian--Riemannian flow (HRF), previously developed for stationary MFGs, to time-dependent MFGs. We first discretize the system in space and time and then construct the flow directly on the resulting finite-dimensional problem. The proposed flow exploits Lasry--Lions monotonicity, preserves the initial density and terminal value function, and maintains positivity and mass of the density. Under standard assumptions, we prove global convergence of the HRF and show how to recover a solution of the full discretized time-dependent MFG system from its limit. For the inverse problem, we formulate parameter estimation as a bilevel problem in which the outer problem updates unknown coefficients and the inner problem solves the discretized MFG system. Gradients of the outer objective are obtained by differentiating the discretized MFG system at the inner solution, rather than differentiating through the iterations of a particular forward solver. This yields a solver-agnostic framework with adjoint-based gradient descent and Gauss--Newton acceleration. Numerical experiments on stationary and time-dependent MFGs demonstrate the effectiveness of the proposed methods.