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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBenamou, Jean-David
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorCarlier, Guillaume
hal.structure.identifierScuola Normale Superiore di Pisa [SNS]
dc.contributor.authorMarino, Simone
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorNenna, Luca
HAL ID: 4191
dc.date.accessioned2018-09-05T09:17:26Z
dc.date.available2018-09-05T09:17:26Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17952
dc.language.isoenen
dc.subjectMean-Field Gamesen
dc.subjectFokker-Planck equationen
dc.subjectentropy minimizationen
dc.subjectSchrödinger bridgesen
dc.subjectSinkhorn algorithmen
dc.subject.ddc515en
dc.titleAn entropy minimization approach to second-order variational mean-field gamesen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.identifier.citationpages32en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01848370en
dc.subject.ddclabelAnalyseen
dc.identifier.citationdate2018-08
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-05T09:13:50Z
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