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Article Dans Une Revue Mathematical Models and Methods in Applied Sciences Année : 2019

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.
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Dates et versions

hal-01848370 , version 1 (24-07-2018)
hal-01848370 , version 2 (02-08-2018)
hal-01848370 , version 3 (28-03-2019)
hal-01848370 , version 4 (16-09-2019)

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  • HAL Id : hal-01848370 , version 4

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Jean-David Benamou, Guillaume Carlier, Simone Di Marino, Luca Nenna. An entropy minimization approach to second-order variational mean-field games. Mathematical Models and Methods in Applied Sciences, 2019. ⟨hal-01848370v4⟩
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