Local convergence of mean-field Langevin dynamics: from gradient flows to linearly monotone games

TL;DR

This paper establishes sharp local exponential convergence rates for mean-field diffusive systems, including gradient flows and certain game dynamics, under monotonicity and Poincaré inequality assumptions, extending previous results.

Contribution

It provides the first explicit local convergence rates in $oldsymbol{ ext{χ}}^2$-divergence for non-gradient systems like monotone games, generalizing prior gradient flow results.

Findings

Proved exponential local convergence in $oldsymbol{ ext{χ}}^2$-divergence for mean-field systems.

Identified sharp convergence rates governed by the Poincaré constant near equilibrium.

Extended convergence analysis to non-gradient, linearly monotone game dynamics.

Abstract

We study the local convergence of diffusive mean-field systems, including Wasserstein gradient flows, min-max dynamics, and multi-species games. We establish exponential local convergence in $\chi^2$-divergence with sharp rates, under two main assumptions: (i) the stationary measures satisfy a Poincar\'e inequality, and (ii) the velocity field satisfies a monotonicity condition, which reduces to linear convexity of the objective in the gradient flow case. We do not assume any form of displacement convexity or displacement monotonicity. In the gradient flow case, global exponential convergence is already known under our linear convexity assumption, with an asymptotic rate governed by the log-Sobolev constant of the stationary measure. Our contribution in this setting is to identify the sharp rate near equilibrium governed instead by the Poincar\'e constant. This rate coincides with the one suggested by Otto calculus (i.e. by a tight positivity estimate of the Wasserstein Hessian), and refines some results of Tamura (1984), extending them beyond quadratic objectives. More importantly, our proof technique extends to certain non-gradient systems, such as linearly monotone two-player and multi-player games. In this case, we obtain explicit local exponential convergence rates in $\chi^2$-divergence, thereby partially answering the open question raised by the authors at COLT 2024. While that question concerns global convergence (which remains open), even local convergence results were previously unavailable. At the heart of our analysis is the design of a Lyapunov functional that mixes the $\chi^2$-divergence with weighted negative Sobolev norms of the density relative to equilibrium.