An entropy minimization approach to second-order variational mean-field games
Optimization and Control
2019-04-01 v2 Analysis of PDEs
Numerical Analysis
Abstract
We propose a new viewpoint on variational mean-field games with diffusion and quadratic Hamiltonian. We show the equivalence of such mean-field games with a relative entropy minimization at the level of probabilities on curves. We also address the time-discretization of such problems, establish -convergence results as the time step vanishes and propose an efficient algorithm relying on this entropic interpretation as well as on the Sinkhorn scaling algorithm.
Cite
@article{arxiv.1807.09078,
title = {An entropy minimization approach to second-order variational mean-field games},
author = {Jean-David Benamou and Guillaume Carlier and Simone Di Marino and Luca Nenna},
journal= {arXiv preprint arXiv:1807.09078},
year = {2019}
}