期刊
MATHEMATICAL MODELS & METHODS IN APPLIED SCIENCES
卷 29, 期 8, 页码 1553-1583出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0218202519500283
关键词
Mean-field games; Fokker-Planck equation; Gamma-convergence entropy minimization; Schrodinger bridges; Sinkhorn algorithm
We propose an entropy minimization viewpoint on variational mean-field games with diffusion and quadratic Hamiltonian. We carefully analyze the time discretization of such problems, establish Gamma-convergence results as the time step vanishes and propose an efficient algorithm relying on this entropic interpretation as well as on the Sinkhorn scaling algorithm.
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