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.
Rates of convergence for the policy iteration method for Mean Field Games systems
Camilli F.;
2022-01-01
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.File in questo prodotto:
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