Algorithm for Hamilton-Jacobi equations in density space via a generalized Hopf formula
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Abstract: We design fast numerical methods for Hamilton-Jacobi equations in density space (HJD), which arises in optimal transport and mean field games. We overcome the curse-of-infinite-dimensionality nature of HJD by proposing a generalized Hopf formula in density space. The formula transfers optimal control problems in density space, which are constrained minimizations supported on both spatial and time variables, to optimization problems over only spatial variables. This transformation allows us to compute HJD efficiently via multi-level approaches and coordinate descent methods.
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Cited in
(12)- Discrete potential mean field games: duality and numerical resolution
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. I: The ergodic case
- A simple multiscale method for mean field games
- Value-Gradient Based Formulation of Optimal Control Problem and Machine Learning Algorithm
- Semiglobal optimal feedback stabilization of autonomous systems via deep neural network approximation
- Optimal polynomial feedback laws for finite horizon control problems
- A game-theoretic framework for autonomous vehicles velocity control: bridging microscopic differential games and macroscopic mean field games
- Tracial smooth functions of non-commuting variables and the free Wasserstein manifold
- A mean field game inverse problem
- Consistent smooth approximation of feedback laws for infinite horizon control problems with non-smooth value functions
- Spectral methods for nonlinear functionals and functional differential equations
- Fourier approximation methods for first-order nonlocal mean-field games
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