An entropy minimization approach to second-order variational mean-field games
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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