
A remark on Uzawa's algorithm and an application to mean field games systems
Bertucci, Charles (2020), A remark on Uzawa's algorithm and an application to mean field games systems, ESAIM: Mathematical Modelling and Numerical Analysis, 54, 3, p. 1053 - 1071. 10.1051/m2an/2019084
View/ Open
Type
Article accepté pour publication ou publiéDate
2020Journal name
ESAIM: Mathematical Modelling and Numerical AnalysisVolume
54Number
3Publisher
EDP Sciences
Pages
1053 - 1071
Publication identifier
Metadata
Show full item recordAbstract (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 / Keywords
Uzawa's algorithm; mean field games systemsRelated items
Showing items related by title and author.
-
Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis (2018) Article accepté pour publication ou publié
-
Cardaliaguet, Pierre; Lehalle, Charles-Albert (2017) Article accepté pour publication ou publié
-
Bertucci, Charles (2020) Article accepté pour publication ou publié
-
Bertucci, Charles (2018-12-11) Thèse
-
Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis (2020) Article accepté pour publication ou publié