Accepted Paper

Inserted: 24 jul 2018
Last Updated: 1 apr 2019

Journal: M3AS
Year: 2018

Abstract:

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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• mfg-entropic-revised.pdf