Mean field games: numerical methods for the planning problem (Q2884587)
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scientific article; zbMATH DE number 6039277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean field games: numerical methods for the planning problem |
scientific article; zbMATH DE number 6039277 |
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30 May 2012
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mean field games
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optimal planning
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finite difference
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Hamilton-Jacobi equation
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Mean field games: numerical methods for the planning problem (English)
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A finite difference semi-implicit scheme for Lasy-Lions mean field games and a parametrized `penalized' version thereof is introduced. By relating the resultant equations to a discrete control problem, the existence and uniqueness issues are analyzed using convex duality theory. For the penalized case, some key estimates that capture the parameter dependence are derived. A Newton iteration based strategy for solving the semi-implicit scheme in the penalized case is proposed and numerical experiments are given.
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