Rates of convergence for the policy iteration method for Mean Field Games systems
Journal of Mathematical Analysis and Applications(2022)
Abstract
Convergence of the policy iteration method for discrete and continuous optimal control problems holds under general assumptions. Moreover, in some circumstances, it is also possible to show a quadratic rate of convergence for the algorithm. For Mean Field Games, convergence of the policy iteration method has been recently proved in [9]. Here, we provide an estimate of its rate of convergence.
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Key words
Mean Field Games,Policy iteration,Convergence rate
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