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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

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Type
Article accepté pour publication ou publié
Date
2020
Journal name
ESAIM: Mathematical Modelling and Numerical Analysis
Volume
54
Number
3
Publisher
EDP Sciences
Pages
1053 - 1071
Publication identifier
Metadata
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Author(s)
Bertucci, Charles
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 / Keywords
Uzawa's algorithm; mean field games systems