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, F.. - (2022), pp. 406-411. - IFAC-PAPERSONLINE. [10.1016/j.ifacol.2022.11.087].
A policy iteration method for Mean Field Games
Camilli F.
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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