An Augmented Lagrangian Numerical approach to solving Mean-Fields Games

Jean-David Benamou 1 Guillaume Carlier 2 Nicolas Bonne 1
1 MOKAPLAN - Méthodes numériques pour le problème de Monge-Kantorovich et Applications en sciences sociales
Inria Paris-Rocquencourt
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
Abstract : We present the application of the ALG2 algorithm [1] to solve numerically variationals mean field games [5].
Keywords : Mean field games Augmented Lagrangian Douglas Rachford
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Jean-David Benamou, Guillaume Carlier, Nicolas Bonne. An Augmented Lagrangian Numerical approach to solving Mean-Fields Games. [Rapport de recherche] 2013, pp.30. 〈hal-00922349〉

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