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Informal Systems Seminar (ISS), Centre for Intelligent Machines (CIM) and Groupe d'Etudes et de Recherche en Analyse des Decisions (GERAD)

Fourier Approximation Methods for Nonlocal Mean-Field Games

Levon Nurbekyan
Department of Mathematics and Statistics McGill University

February 1, 2019 at  11:00 AM
McConnell Engineering Room 437

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.