Generalized conditional gradient and learning in potential mean field games - Inria - Institut national de recherche en sciences et technologies du numérique
Article Dans Une Revue Applied Mathematics and Optimization Année : 2023

Generalized conditional gradient and learning in potential mean field games

Résumé

We investigate the resolution of second-order, potential, and monotone mean field games with the generalized conditional gradient algorithm, an extension of the Frank-Wolfe algorithm. We show that the method is equivalent to the fictitious play method. We establish rates of convergence for the optimality gap, the exploitability, and the distances of the variables to the unique solution of the mean field game, for various choices of stepsizes. In particular, we show that linear convergence can be achieved when the stepsizes are computed by linesearch.
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Dates et versions

hal-03341776 , version 1 (12-09-2021)
hal-03341776 , version 2 (07-10-2022)
hal-03341776 , version 3 (17-08-2023)

Identifiants

Citer

Pierre Lavigne, Laurent Pfeiffer. Generalized conditional gradient and learning in potential mean field games. Applied Mathematics and Optimization, 2023, 88, ⟨10.1007/s00245-023-10056-8⟩. ⟨hal-03341776v3⟩
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