Abstract:Master equations in mean field game theory characterize feedback value functions that depend on time, state (space), and the population distribution. Their numerical approximation is challenging because the unknown is defined on a space of probability measures and the equation involves intrinsic measure derivatives and nonlocal population terms. This paper proposes a measure-consistent operator learning method (MCOL) for infinite-dimensional master equations. The population distribution is represented by an empirical measure and encoded through a symmetric pooling structure, so that the network input is built directly from the particles representing the measure. The same particles are used in the empirical quadrature of the nonlocal residual terms, avoiding additional quadrature grids or auxiliary integration points. A key feature is that the intrinsic derivative appearing in the residual is induced by the same measure-dependent representation that defines the approximation of the value function. Consequently, the value function, its measure derivative, and the empirical residual are tied to a common measure representation, leading to a structurally coupled value-derivative approximation. We also introduce an error decomposition separating neural approximation error from empirical discretization error. Numerical experiments on several master equations show that MCOL accurately approximates the value function, intrinsic measure derivatives, and feedback quantities, and remains robust under changes in the input measures.
From: Chenyao Wang [view email]
[v1]
Sat, 6 Jun 2026 04:32:48 UTC (1,669 KB)
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