Policy iteration method for time-dependent Mean Field Games systems with non-separable Hamiltonians
Optimization and Control
2022-10-03 v2 Numerical Analysis
Numerical Analysis
Abstract
We introduce two algorithms based on a policy iteration method to numerically solve time-dependent Mean Field Game systems of partial differential equations with non-separable Hamiltonians. We prove the convergence of such algorithms in sufficiently small time intervals with Banach fixed point method. Moreover, we prove that the convergence rates are linear. We illustrate our theoretical results by numerical examples, and we discuss the performance of the proposed algorithms.
Cite
@article{arxiv.2110.02552,
title = {Policy iteration method for time-dependent Mean Field Games systems with non-separable Hamiltonians},
author = {Mathieu Laurière and Jiahao Song and Qing Tang},
journal= {arXiv preprint arXiv:2110.02552},
year = {2022}
}
Comments
arXiv admin note: text overlap with arXiv:2007.04818 by other authors