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Preprints, Working Papers, ... Year : 2023

A mesh-independent method for second-order potential mean field games

Abstract

This article investigates the convergence of the Generalized Frank-Wolfe (GFW) algorithm for the resolution of potential and convex second-order mean field games. More specifically, the impact of the discretization of the mean-field-game system on the effectiveness of the GFW algorithm is analyzed. The article focuses on the theta-scheme introduced by the authors in a previous study. A sublinear and a linear rate of convergence are obtained, for two different choices of stepsizes. These rates have the mesh-independence property: the underlying convergence constants are independent of the discretization parameters.
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hal-04269396 , version 1 (03-11-2023)

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  • HAL Id : hal-04269396 , version 1

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Kang Liu, Laurent Pfeiffer. A mesh-independent method for second-order potential mean field games. 2023. ⟨hal-04269396⟩
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