Convergence of the policy iteration method for discrete and continuous optimal control problems holds under general assumptions. Moreover, in some circumstances, it is also possible to show a quadratic rate of convergence for the algorithm. For Mean Field Games, convergence of the policy iteration method has been recently proved in [9]. Here, we provide an estimate of its rate of convergence.

Rates of convergence for the policy iteration method for Mean Field Games systems / Camilli, F.; Tang, Q.. - In: JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. - ISSN 0022-247X. - 512:1(2022), p. 126138. [10.1016/j.jmaa.2022.126138]

Rates of convergence for the policy iteration method for Mean Field Games systems

Camilli F.;Tang Q.
2022

Abstract

Convergence of the policy iteration method for discrete and continuous optimal control problems holds under general assumptions. Moreover, in some circumstances, it is also possible to show a quadratic rate of convergence for the algorithm. For Mean Field Games, convergence of the policy iteration method has been recently proved in [9]. Here, we provide an estimate of its rate of convergence.
2022
Convergence rate; Mean Field Games; Policy iteration
01 Pubblicazione su rivista::01a Articolo in rivista
Rates of convergence for the policy iteration method for Mean Field Games systems / Camilli, F.; Tang, Q.. - In: JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. - ISSN 0022-247X. - 512:1(2022), p. 126138. [10.1016/j.jmaa.2022.126138]
File allegati a questo prodotto
File Dimensione Formato  
Camilli_Rates_2022.pdf

accesso aperto

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 386.27 kB
Formato Adobe PDF
386.27 kB Adobe PDF

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1624910
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 8
  • ???jsp.display-item.citation.isi??? 5
social impact