policy iteration
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Author(s):  
Iuliu Alexandru Zamfirache ◽  
Radu-Emil Precup ◽  
Raul-Cristian Roman ◽  
Emil M. Petriu

2021 ◽  
Author(s):  
Shuzheng Qu ◽  
Mohammed Abouheaf ◽  
Wail Gueaieb ◽  
Davide Spinello

2021 ◽  
Author(s):  
Qiang Gao ◽  
Xuxi Yang ◽  
Yuehui Ji ◽  
Junjie Liu

Author(s):  
Simone Cacace ◽  
Fabio Camilli ◽  
Alessandro Goffi

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. We show the convergence of the policy iteration method for the discrete problem and we study the performance of the proposed algorithm on some examples in dimension one and two.


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