We discuss convergence results for a class of finite difference schemes approximating Mean Field Games systems either on the torus or a network. We also propose a quasi-Newton method for the computation of discrete solutions, based on a least squares formulation of the problem. Several numerical experiments are carried out including the case with two or more competing populations.
Finite difference methods for mean field games systems / Cacace, S.; Camilli, F.. - (2018), pp. 21-47. - SPRINGER INDAM SERIES. [10.1007/978-3-030-01947-1_2].
Finite difference methods for mean field games systems
Cacace S.;Camilli F.
2018
Abstract
We discuss convergence results for a class of finite difference schemes approximating Mean Field Games systems either on the torus or a network. We also propose a quasi-Newton method for the computation of discrete solutions, based on a least squares formulation of the problem. Several numerical experiments are carried out including the case with two or more competing populations.File allegati a questo prodotto
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