A remark on Uzawa's algorithm and an application to mean field games systems
Bertucci, Charles (2018), A remark on Uzawa's algorithm and an application to mean field games systems. https://basepub.dauphine.fr/handle/123456789/18487
TypeDocument de travail / Working paper
External document linkhttps://hal.archives-ouvertes.fr/hal-01884238
Series titleCahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)In this paper, we present an extension of Uzawa's algorithm and apply it to build approximating sequences of mean field games systems. We prove that Uzawa's iterations can be used in a more general situation than the one in it is usually used. We then present some numerical results of those iterations on discrete mean field games systems of optimal stopping, impulse control and continuous control.
Subjects / KeywordsUzawa's algorithm; mean field games systems
Showing items related by title and author.