A remark on Uzawa's algorithm and an application to mean field games systems
Analysis of PDEs
2018-10-03 v1
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.
Keywords
Cite
@article{arxiv.1810.01181,
title = {A remark on Uzawa's algorithm and an application to mean field games systems},
author = {Charles Bertucci},
journal= {arXiv preprint arXiv:1810.01181},
year = {2018}
}