Inserted: 10 jul 2020
The policy iteration method is a classical algorithm for solving optimal control problems. In this paper, we introduce a policy iteration method for Mean Field Games systems, and we study the convergence of this procedure to a solution of the problem. We also introduce suitable discretizations to numerically solve both stationary and evolutive problems, showing the performance of the proposed algorithm on some examples in dimension one and two.
Keywords: Convergence, Mean Field Games, Numerical methods, policy iteration