Title: Mean-Field Neural Differential Equations: A Game-Theoretic Approach to Sequence Prediction
Primary area: other topics in machine learning (i.e., none of the above)
Keywords: Mean-field games, Differentiable Games, fictitious play

Abstract: We propose a novel class of neural differential equation models called mean-field continuous sequence predictors (MFPs) for efficiently generating continuous sequences with potentially infinite-order complexity. To address complex inductive biases in time-series data, we employ mean-field dynamics structured through carefully designed graphons. By reframing continuous sequence prediction as mean-field games, we utilize a fictitious play strategy integrated with gradient-descent techniques. This approach exploits the stochastic maximum principle to determine the Nash equilibrium of the system. Both empirical evidence and theoretical analysis highlight the unique advantages of our framework, where a collective of continuous predictors achieves highly accurate predictions and consistently outperforms benchmark prior works.