A Simple Multiscale Method for Mean Field Games
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Publication:6344732
DOI10.1016/J.JCP.2021.110385arXiv2007.04594MaRDI QIDQ6344732FDOQ6344732
Authors: Haoya Li, Yuwei Fan, Lexing Ying 
Publication date: 9 July 2020
Abstract: This paper proposes a multiscale method for solving the numerical solution of mean field games which accelerates the convergence and addresses the problem of determining the initial guess. Starting from an approximate solution at the coarsest level, the method constructs approximations on successively finer grids via alternating sweeping, which not only allows for the use of classical time marching numerical schemes but also enables applications to both local and nonlocal problems. At each level, numerical relaxation is used to stabilize the iterative process. A second-order discretization scheme is derived for higher-order convergence. Numerical examples are provided to demonstrate the efficiency of the proposed method in both local and nonlocal, 1-dimensional and 2-dimensional cases.
Partial differential equations of mathematical physics and other areas of application (35Qxx) Game theory (91Axx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)
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