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Séminaire informel de théorie des systèmes (ISS)

Fourier approximation methods for nonlocal mean-field games

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1 fév. 2019   11h00 — 12h00

Levon Nurbekyan Université McGill, Canada

We develop Fourier approximation methods for the solutions of first-order nonlocal mean-field games (MFG) systems. Using Fourier expansion techniques, we approximate a given MFG system by a simpler one that is equivalent to a convex optimization problem over a finite-dimensional subspace of continuous curves. Furthermore, we perform a time-discretization for this optimization problem and arrive at a finite-dimensional saddle point problem. Finally, we solve this saddle-point problem by a variant of a primal-dual hybrid gradient method.


Entrée gratuite.
Bienvenue à tous!

Peter E. Caines responsable
Aditya Mahajan responsable
Dena Firoozi responsable

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Salle MC 437
CIM
Pavillon McConnell
Université McGill
3480, rue University Montréal QC H3A 0E9 Canada

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