4 papers
Robust mean field control: stochastic maximum principle and variational mean field games
François Delarue, Pierre Lavigne
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonline…
Robust mean-field games under entropy-based uncertainty
François Delarue, Pierre Lavigne
In this article, we introduce a new class of entropy-penalized robust mean field game problems in which the representative agent is opposed to Nature. The agent's objective is form…
Generalized conditional gradient and learning in potential mean field games
Pierre Lavigne, Laurent Pfeiffer
We investigate the resolution of second-order, potential, and monotone mean field games with the generalized conditional gradient algorithm, an extension of the Frank-Wolfe algorit…
Discrete potential mean field games: duality and numerical resolution
J. Frédéric Bonnans, Pierre Lavigne, Laurent Pfeiffer
We propose and investigate a general class of discrete time and finite state space mean field game (MFG) problems with potential structure. Our model incorporates interactions thro…