A remark on Uzawa's algorithm and an application to mean field games systems
From MaRDI portal
Publication:5108968
DOI10.1051/M2AN/2019084zbMATH Open1437.91051arXiv1810.01181OpenAlexW3023273159MaRDI QIDQ5108968FDOQ5108968
Authors: Charles Bertucci 
Publication date: 7 May 2020
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1810.01181
Recommendations
Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Mean field games (aspects of game theory) (91A16)
Cited In (6)
- Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
- Mean-field games of optimal stopping: a relaxed solution approach
- Monotone solutions for mean field games master equations: finite state space and optimal stopping
- 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
This page was built for publication: A remark on Uzawa's algorithm and an application to mean field games systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5108968)
