Two numerical methods for mean-field games

Abstract
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient flow method based on the variational characterization of certain MFG. The second one uses monotonicity properties of MFG. We illustrate our methods with various examples, including one-dimensional periodic MFG, congestion problems, and higher-dimensional models.

Conference/Event Name
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

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