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arXiv · 1811.01156

Fourier Approximation Methods for First-Order Nonlocal Mean-Field Games

Levon Nurbekyan·Joao Saude
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Abstract

In this note, we develop Fourier approximation methods for the solutions of first-order nonlocal mean-field games (MFG) systems. Using Fourier expansion techniques, we approximate a given MFG system by a simpler one that is equivalent to a convex optimization problem over a finite-dimensional subspace of continuous curves. Furthermore, we perform a time-discretization for this optimization problem and arrive at a finite-dimensional saddle point problem. Finally, we solve this saddle-point problem by a variant of a primal dual hybrid gradient method.

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Levon Nurbekyan, Joao Saude. 2018-11-03. Fourier Approximation Methods for First-Order Nonlocal Mean-Field Games. https://arxiv.org/abs/1811.01156

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