Discrete potential mean field games: duality and numerical resolution

We propose and investigate a general class of discrete time and finite state space mean field game (MFG) problems with potential structure. Our model incorporates interactions through a congestion term and a price variable. It also allows hard constraints on the distribution of the agents. We analyz...

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Bibliographic Details
Published in:	Mathematical programming Vol. 202; no. 1-2; pp. 241 - 278
Main Authors:	Bonnans, J. Frédéric, Lavigne, Pierre, Pfeiffer, Laurent
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01-11-2023 Springer Springer Nature B.V Springer Verlag
Subjects:	Calculus of Variations and Optimal Control; Optimization Combinatorics Full Length Paper Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Numerical methods Optimal control Optimization and Control Theoretical ADM-G 91A16 90C25 49N80 Duality theory 49N15 Dynamic programming Mean field games Kolmogorov equation Primal-dual optimization ADMM 91A50 duality theory dynamic programming primal-dual optimization primal-dual proximal methods
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