Kullback-Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
We study the computation of static mean-field equilibria on a compact state space by formulating the equilibrium condition as a variational inequality over probability measures. We propose an entropic variant of Korpelevich's extragradient algorithm---the Kullback--Leibler Mirror-Prox method---in which Euclidean projec...