Discrete potential mean field games: duality and numerical resolution
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Abstract: We propose and investigate a general class of discrete time and finite state space mean field game (MFG) problems with potential structure. Our model incorporates interactions through a congestion term and a price variable. It also allows hard constraints on the distribution of the agents. We analyze the connection between the MFG problem and two optimal control problems in duality. We present two families of numerical methods and detail their implementation: (i) primal-dual proximal methods (and their extension with nonlinear proximity operators), (ii) the alternating direction method of multipliers (ADMM) and a variant called ADM-G. We give some convergence results. Numerical results are provided for two examples with hard constraints.
A general class of discrete time and finite state space mean field game problems with potential structure incorporating interactions through a congestion term and a price variable are introduced and studied. Connections between these game problems and two optimal control problems are investigated by meas of duality. Two families of numerical methods, namely primal-dual proximal and alternating direction method of multipliers, are employed for solving such problems, and computational results for two examples with hard constraints are provided.
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