Interacting particle- or agent-based systems are ubiquitous in science. They arise in an extremely wide variety of applications including materials science, biology, economics and social sciences. Several mathematical models exist to account for the evolution of such systems at different scales, among which stand stochastic differential equations, optimal transport problems, Fokker-Planck equations or mean-field games systems. However, all of them suffer from severe limitations when it comes to the simulation of high-dimensional problems, the high-dimensionality character coming either from the large number of particles or agents in the system, the high amount of features of each agent or particle or the huge quantity of parameters entering the model. The objective of this project is to provide a new mathematical framework for the development and analysis of efficient and accurate numerical methods for the simulation of high-dimensional particle or agent systems, stemming from applications in materials science and stochastic game theory. The main challenges which will be addressed in this project are: -sparse optimization problems for multi-marginal optimal transport problems, using moment constraints; -numerical resolution of high-dimensional partial differential equations, with stochastic iterative algorithms; -efficient approximation of parametric stochastic differential equations, by means of reduced-order modeling approaches. The potential impacts of the project are huge: making possible such extreme-scale simulations will enable to gain precious insights on the predictive power of agent- or particle-based models, with applications in various fields, such as quantum chemistry, molecular dynamics, crowd motion or urban traffic.