Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
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Abstract: We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and absorption. This algorithm allows to approximate the mean field game population dynamics without computing the value function by solving linear programming problems associated with the distributions of the players still in the game and their stopping times/controls. We show the convergence of the algorithm using the topology of convergence in measure in the space of subprobability measures, which is needed to deal with the lack of continuity of the flows of measures. Numerical examples are provided to illustrate the convergence of the algorithm.
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Cited in
(7)- Control and optimal stopping mean field games: a linear programming approach
- Time-inconsistent mean-field optimal stopping: a limit approach
- MF-OMO: An Optimization Formulation of Mean-Field Games
- A mean-field game model of electricity market dynamics
- Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
- MF-OML: online mean-field reinforcement learning with occupation measures for large population games
- Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDEs
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