Lagrangian Discretization of Variational Mean Field Games

DOI10.1137/20M1377291zbMATH Open1498.91041arXiv2010.11519MaRDI QIDQ5081085FDOQ5081085

Authors: Clément Sarrazin 

Publication date: 1 June 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In this article, we introduce a method to approximate solutions of some variational mean field game problems with congestion, by finite sets of player trajectories. These trajectories are obtained by solving a minimization problem similar to the initial variational problem. In this discretized problem, congestion is penalized by a Moreau envelop with the 2-Wasserstein distance. Study of this envelop as well as efficient computation of its values and variations is done using semi-discrete optimal transport. We show convergence of the discrete sets of trajectories toward a solution of the mean field game, under some conditions on the parameters of the discretization.

Full work available at URL: https://arxiv.org/abs/2010.11519

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zbMATH Keywords

mean field gamesvariational methodcongestionLagrangian discretizationLaguerre cellsMoreau-Yosida system

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Mean field games (aspects of game theory) (91A16) Potential and congestion games (91A14) PDEs in connection with mean field game theory (35Q89)

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Cited In (4)

• Optimal trajectories in \(L^1\) and under \(L^1\) penalizations
• Particle approximation of one-dimensional mean-field games with local interactions
• Lecture notes on variational mean field games
• Mean field type control with congestion. II: An augmented Lagrangian method

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