A mesh-independent method for second-order potential mean field games
Optimization and Control
2023-11-01 v1
Abstract
This article investigates the convergence of the Generalized Frank-Wolfe (GFW) algorithm for the resolution of potential and convex second-order mean field games. More specifically, the impact of the discretization of the mean-field-game system on the effectiveness of the GFW algorithm is analyzed. The article focuses on the theta-scheme introduced by the authors in a previous study. A sublinear and a linear rate of convergence are obtained, for two different choices of stepsizes. These rates have the mesh-independence property: the underlying convergence constants are independent of the discretization parameters.
Keywords
Cite
@article{arxiv.2310.20041,
title = {A mesh-independent method for second-order potential mean field games},
author = {Kang Liu and Laurent Pfeiffer},
journal= {arXiv preprint arXiv:2310.20041},
year = {2023}
}