An entropy minimization approach to second-order variational mean-field games

Abstract : We propose a new viewpoint on variational mean-field games with diffusion and quadratic Hamiltonian. We show the equivalence of such mean-field games with a relative entropy minimization at the level of probabilities on curves. We also address 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.
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https://hal.archives-ouvertes.fr/hal-01848370
Contributor : Nenna Luca <>
Submitted on : Thursday, March 28, 2019 - 1:04:26 PM
Last modification on : Friday, March 29, 2019 - 2:37:31 AM

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  • HAL Id : hal-01848370, version 3

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Jean-David Benamou, Guillaume Carlier, Simone Marino, Luca Nenna. An entropy minimization approach to second-order variational mean-field games. 2019. ⟨hal-01848370v3⟩

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