Forecasting Public Sentiments via Mean Field Games

Motivated by the goal of forecasting public sentiments, we consider a forecasting problem in the context of the Mean Field Games theory. We develop a numerical method, which is a version of the so-called convexification method. We provide theoretical convergence analysis that establishes global convergence of the method with a convergence rate. We also conduct numerical experiments that demonstrate the accurate performance of the convexification technique and highlight some promising features of this approach.