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.
|Titolo:||An entropy minimization approach to second-order variational mean-field games|
|Data di pubblicazione:||2019|
|Appare nelle tipologie:||01.01 - Articolo su rivista|