An entropy minimization approach to second-order variational mean-field games.
Authors
Publication date
- BENAMOU Jean david
- CARLIER Guillaume
- MARINO Simone
- NENNA Luca
2019
Publication type
Other
Summary
We propose an entropy minimization viewpoint on variational mean-field games with diffusion and quadratic Hamiltonian. We carefully analyze the time-discretization of such problems, establish Γ-convergence results as the time step vanishes and propose an efficient algorithm relying on this entropic interpretation as well as on the Sinkhorn scaling algorithm.
Topics of the publication
Themes detected by scanR from retrieved publications. For more information, see https://scanr.enseignementsup-recherche.gouv.fr