The policy iteration method is a classical algorithm for solving optimal control problems. We introduce a policy iteration method for Mean Field Games systems and we prove, under a classical monotonicity assumption on the coupling cost, the convergence of this procedure to the solution of the problem.
A policy iteration method for mean field games / Camilli, Fabio. - In: IFAC PAPERSONLINE. - ISSN 2405-8971. - 55:30(2022), pp. 406-411. ( 25th IFAC Symposium on Mathematical Theory of Networks and Systems, MTNS 2022 Bayreuth, Germania ) [10.1016/j.ifacol.2022.11.087].
A policy iteration method for mean field games
Fabio Camilli
2022
Abstract
The policy iteration method is a classical algorithm for solving optimal control problems. We introduce a policy iteration method for Mean Field Games systems and we prove, under a classical monotonicity assumption on the coupling cost, the convergence of this procedure to the solution of the problem.File allegati a questo prodotto
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