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Thu, 29 Oct 2026

16:00 - 17:00
L5

Model-Free Policy Gradient for Discrete-Time Mean-Field Control

Matthieu Meunier
((Mathematical Institute University of Oxford))
Abstract

We study model-free policy learning for discrete-time mean-field control (MFC) problems with finite state space and compact action space. In contrast to the extensive literature on value-based methods for MFC, policy-based approaches remain largely unexplored due to the intrinsic dependence of transition kernels and rewards on the evolving population state distribution, which prevents the direct use of likelihood-ratio estimators of policy gradients from classical single-agent reinforcement learning. We introduce a perturbation scheme on the state-distribution flow and prove that the gradient of the resulting perturbed value function converges to the true policy gradient as the perturbation magnitude vanishes. This construction yields a model-free estimator based solely on simulated trajectories and an auxiliary estimate of the sensitivity of the state distribution. Building on this framework, we develop MF-REINFORCE, a model-free policy gradient algorithm for MFC, and establish quantitative bounds on its bias and mean-squared error.

We are currently inviting applications for a Postdoctoral Research Associate to work with Professor Terry Lyons at the Mathematical Institute, University of Oxford. These are two-year, fixed-term positions, funded by the Engineering and Physical Sciences Research Council (EPSRC). The starting date of these positions is flexible.

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