Provable Fictitious Play for General Mean-Field Games

We propose a reinforcement learning algorithm for stationary mean-field games, where the goal is to learn a pair of mean-field state and stationary policy that constitutes the Nash equilibrium. When viewing the mean-field state and the policy as two players, we propose a fictitious play algorithm which alternatively updates the mean-field state and the policy via gradient-descent and proximal policy optimization, respectively. Our algorithm is in stark contrast with previous literature which solves each single-agent reinforcement learning problem induced by the iterates mean-field states to the optimum. Furthermore, we prove that our fictitious play algorithm converges to the Nash equilibrium at a sublinear rate. To the best of our knowledge, this seems the first provably convergent single-loop reinforcement learning algorithm for mean-field games based on iterative updates of both mean-field state and policy.