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

Abstract : 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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https://hal.archives-ouvertes.fr/hal-01848370
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Submitted on : Monday, September 16, 2019 - 10:21:42 AM
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  • HAL Id : hal-01848370, version 4

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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-01848370v4⟩

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