Volume 54, Number 3, May-June 2020
|Page(s)||1053 - 1071|
|Published online||07 May 2020|
A remark on Uzawa’s algorithm and an application to mean field games systems
Université Paris-Dauphine, PSL Research University, UMR 7534, CEREMADE, 75016 Paris, France
* Corresponding author: email@example.com
Accepted: 29 November 2019
In this paper, we present an extension of Uzawa’s algorithm and apply it to build approximating sequences of mean field games systems. We prove that Uzawa’s iterations can be used in a more general situation than the one in it is usually used. We then present some numerical results of those iterations on discrete mean field games systems of optimal stopping, impulse control and continuous control.
Mathematics Subject Classification: 91A13 / 49K99 / 65M06
Key words: Uzawa’s algorithm / mean field games / variational inequalities
© The authors. Published by EDP Sciences, SMAI 2020
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