A remark on Uzawa's algorithm and an application to mean field games systems

DOI10.1051/M2AN/2019084MaRDI QIDQ5108968zbMATH OpenOpenAlexFDO

Authors Charles Bertucci

Publication date 7 May 2020

Published in ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1810.01181, https://www.esaim-m2an.org/articles/m2an/pdf/2020/03/m2an180172.pdf

zbMATH Keywords

mean field gamesvariational inequalitiesUzawa's algorithm

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Mean field games (aspects of game theory) (91A16)

Abstract: In this paper, we present an extension of Uzawa's algorithm and apply it to build approximating sequences of mean field games systems. We prove that Uzawa's iterations can be used in a more general situation than the one in it is usually used. We then present some numerical results of those iterations on discrete mean field games systems of optimal stopping, impulse control and continuous control.

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• Mean-field games of optimal stopping: a relaxed solution approach
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• Mean field games and applications: numerical aspects
• Mean field games for diel vertical migration with diffusion
• Mean field games master equations: from discrete to continuous state space

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