Analysis and Numerical Approximation of Stationary Second-Order Mean Field Game Partial Differential Inclusions

DOI10.1137/22M1519274MaRDI QIDQ6184517zbMATH OpenOpenAlexFDO

Authors Iain Smears

Publication date 25 January 2024

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.00303

zbMATH Keywords

convergence analysisHamilton-Jacobi-Bellman equationsmean field gamesmonotone finite element methodnondifferentiable Hamiltonianspartial differential inclusions

Mathematics Subject Classification ID

Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Weak solutions to PDEs (35D30) Fokker-Planck equations (35Q84) PDEs in connection with mean field game theory (35Q89) PDEs in connection with control and optimization (35Q93) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Mean field games (aspects of game theory) (91A16) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Abstract: The formulation of Mean Field Games (MFG) typically requires continuous differentiability of the Hamiltonian in order to determine the advective term in the Kolmogorov--Fokker--Planck equation for the density of players. However in many cases of practical interest, the underlying optimal control problem may exhibit bang-bang controls, which typically lead to nondifferentiable Hamiltonians. We develop the analysis and numerical analysis of stationary MFG for the general case of convex, Lipschitz, but possibly nondifferentiable Hamiltonians. In particular, we propose a generalization of the MFG system as a Partial Differential Inclusion (PDI) based on interpreting the derivative of the Hamiltonian in terms of subdifferentials of convex functions. We establish existence of a weak solution to the MFG PDI system, and we further prove uniqueness under a similar monotonicity condition to the one considered by Lasry and Lions. We then propose a monotone finite element discretization of the problem, and we prove strong $H^1$-norm convergence of the approximations to the value function and strong $L^q$-norm convergence of the approximations of the density function. We illustrate the performance of the numerical method in numerical experiments featuring nonsmooth solutions.

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Cited in

(11)

• Erratum to: ``Analysis and numerical approximation of stationary second-order mean field game partial differential inclusions
• Determining state space anomalies in mean field games
• A mean field game system and a related deterministic optimal control problem
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