A remark on Uzawa’s algorithm and an application to mean field games systems
ESAIM: Mathematical Modelling and Numerical Analysis , Tome 54 (2020) no. 3, pp. 1053-1071.

In this paper, we present an extension of Uzawa’s algorithm and apply it to build approximating sequences of mean field games systems. We prove that Uzawa’s iterations can be used in a more general situation than the one in it is usually used. We then present some numerical results of those iterations on discrete mean field games systems of optimal stopping, impulse control and continuous control.

DOI : 10.1051/m2an/2019084
Classification : 91A13, 49K99, 65M06
Mots-clés : Uzawa’s algorithm, mean field games, variational inequalities 
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     title = {A remark on {Uzawa{\textquoteright}s} algorithm and an application to mean field games systems},
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Bertucci, Charles. A remark on Uzawa’s algorithm and an application to mean field games systems. ESAIM: Mathematical Modelling and Numerical Analysis , Tome 54 (2020) no. 3, pp. 1053-1071. doi : 10.1051/m2an/2019084. http://www.numdam.org/articles/10.1051/m2an/2019084/

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