Mean field games and applications: numerical aspects
From MaRDI portal
Publication:2223587
DOI10.1007/978-3-030-59837-2_4zbMath1457.91057arXiv2003.04444OpenAlexW3010829033MaRDI QIDQ2223587
Publication date: 29 January 2021
Full work available at URL: https://arxiv.org/abs/2003.04444
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Mean field games (aspects of game theory) (91A16)
Related Items
Numerical methods for mean field games based on Gaussian processes and Fourier features ⋮ Mean field control problems for vaccine distribution ⋮ Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption ⋮ On numerical approximations of fractional and nonlocal mean field games ⋮ Error estimates of a theta-scheme for second-order mean field games ⋮ Discrete potential mean field games: duality and numerical resolution ⋮ Generalized conditional gradient and learning in potential mean field games ⋮ High order computation of optimal transport, mean field planning, and potential mean field games ⋮ Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians ⋮ A fast proximal gradient method and convergence analysis for dynamic mean field planning ⋮ A mean field model for the development of renewable capacities ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence ⋮ A Lagrange–Galerkin Scheme for First Order Mean Field Game Systems ⋮ Sequential propagation of chaos for mean-field BSDE systems ⋮ Computational mean-field games on manifolds ⋮ Monotone solutions for mean field games master equations: finite state space and optimal stopping ⋮ A policy iteration method for mean field games ⋮ Linear-quadratic zero-sum mean-field type games: optimality conditions and policy optimization ⋮ Cournot--Nash Equilibrium and Optimal Transport in a Dynamic Setting
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the system of partial differential equations arising in mean field type control
- A semi-Lagrangian scheme for a degenerate second order mean field game system
- Mean field type control with congestion
- Control of McKean-Vlasov dynamics versus mean field games
- Mean field type control with congestion. II: An augmented Lagrangian method
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Mean field forward-backward stochastic differential equations
- Second order mean field games with degenerate diffusion and local coupling
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Augmented Lagrangian methods for transport optimization, mean field games and degenerate elliptic equations
- Mean field games
- On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
- Two numerical approaches to stationary mean-field games
- A first-order primal-dual algorithm for convex problems with applications to imaging
- Iterative strategies for solving linearized discrete mean field games systems
- A semi-discrete approximation for a first order mean field game problem
- Long time average of mean field games
- Control and Nash games with mean field effect
- A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
- Mean field games with state constraints: from mild to pointwise solutions of the PDE system
- Weak solutions to Fokker-Planck equations and mean field games
- Numerical method for FBSDEs of McKean-Vlasov type
- Existence and uniqueness for mean field games with state constraints
- Finite Difference Methods for Mean Field Games
- Mean Field Games: Convergence of a Finite Difference Method
- Long Time Average of Mean Field Games with a Nonlocal Coupling
- Mean Field Games: Numerical Methods for the Planning Problem
- Partial differential equation models in macroeconomics
- A numerical method for Mean Field Games on networks
- On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications
- Hamilton-Jacobi Equations with State Constraints
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
- The Master Equation and the Convergence Problem in Mean Field Games
- Preconditioning the Augmented Lagrangian Method for Instationary Mean Field Games with Diffusion
- Proximal Methods for Stationary Mean Field Games with Local Couplings
- An ergodic problem for Mean Field Games: qualitative properties and numerical simulations
- Cemracs 2017: numerical probabilistic approach to MFG
- On the implementation of a primal-dual algorithm for second order time-dependent Mean Field Games with local couplings
- Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case
- A remark on Uzawa’s algorithm and an application to mean field games systems
- Mean Field Games for Modeling Crowd Motion
- Mean field games systems of first order
- Mean Field Games and Mean Field Type Control Theory
- Probabilistic Theory of Mean Field Games with Applications I
- Mean Field Games: Numerical Methods
- Long Time versus Steady State Optimal Control
- A Fully Discrete Semi-Lagrangian Scheme for a First Order Mean Field Game Problem
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- Convergence of a Finite Difference Scheme to Weak Solutions of the System of Partial Differential Equations Arising in Mean Field Games
