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
TypeArticle accepté pour publication ou publié
Journal nameESAIM: Mathematical Modelling and Numerical Analysis
1053 - 1071
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
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