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A simple multiscale method for mean field games

delete2021-08-01
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H
Haoya Li *
Y
Yuwei Fan
L
Lexing Ying
DOI:10.1016/j.jcp.2021.110385delete
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摘要

摘要

En 中文
This paper proposes a multiscale method for solving the numerical solution of mean field games which accelerates the convergence and addresses the problem of determining the initial guess. Starting from an approximate solution at the coarsest level, the method constructs approximations on successively finer grids via alternating sweeping, which not only allows for the use of classical time marching numerical schemes, but also enables applications to both local and nonlocal problems. At each level, numerical relaxation is used to stabilize the iterative process. A second-order discretization scheme is derived for higher order convergence. Numerical examples are provided to demonstrate the efficiency of the proposed method in both local and nonlocal, 1-dimensional and 2-dimensional cases. (C) 2021 Elsevier Inc. All rights reserved.
Keyword:
Mean field games
Alternating sweeping
Multiscale method
Numerical relaxation
Second-order scheme
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期刊

Journal of Computational Physics 封面图
Journal of Computational Physics
IF:
3.8
论文数:
1.6W
被引数:
7.4W

机构

S
Stanford University
学者数:
9.6W
论文数: 8.2W
被引数: 17.0W
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