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An entropy minimization approach to second-order variational mean-field games

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 نشر من قبل Luca Nenna
 تاريخ النشر 2018
  مجال البحث
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We propose a new viewpoint on variational mean-field games with diffusion and quadratic Hamiltonian. We show the equivalence of such mean-field games with a relative entropy minimization at the level of probabilities on curves. We also address 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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