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Two Numerical Approaches to Stationary Mean-Field Games
Journal article   Peer reviewed

Two Numerical Approaches to Stationary Mean-Field Games

Noha Almulla, Rita Ferreira and Diogo Gomes
Dynamic games and applications, Vol.7(4), pp.657-682
01/12/2017

Abstract

Mathematics Mathematics, Interdisciplinary Applications Physical Sciences Science & Technology
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient-flow method based on the variational characterization of certain MFG. The second one uses monotonicity properties of MFG. We illustrate our methods with various examples, including one-dimensional periodic MFG, congestion problems, and higher-dimensional models.

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