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arXiv · 2403.20290

Monotone inclusion methods for a class of second-order non-potential mean-field games

Levon Nurbekyan·Siting Liu·Yat Tin Chow
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Abstract

We propose a monotone splitting algorithm for solving a class of second-order non-potential mean-field games. Following [Achdou, Capuzzo-Dolcetta, "Mean Field Games: Numerical Methods," SINUM (2010)], we introduce a finite-difference scheme and observe that the scheme represents first-order optimality conditions for a primal-dual pair of monotone inclusions. Based on this observation, we prove that the finite-difference system obtains a solution that can be provably recovered by an extension of the celebrated primal-dual hybrid gradient (PDHG) algorithm.

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Levon Nurbekyan, Siting Liu, Yat Tin Chow. 2024-03-29. Monotone inclusion methods for a class of second-order non-potential mean-field games. https://arxiv.org/abs/2403.20290

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