A fast proximal gradient method and convergence analysis for dynamic mean field planning

Abstract

In this paper, we propose an efficient and flexible algorithm to solve dynamic mean-field planning problems based on an accelerated proximal gradient method. Besides an easy-to-implement gradient descent step in this algorithm, a crucial projection step becomes solving an elliptic equation whose solution can be obtained by conventional methods efficiently. By induction on iterations used in the algorithm, we theoretically show that the proposed discrete solution converges to the underlying continuous solution as the grid becomes finer. Furthermore, we generalize our algorithm to mean-field game problems and accelerate it using multilevel and multigrid strategies. We conduct comprehensive numerical experiments to confirm the convergence analysis of the proposed algorithm, to show its efficiency and mass preservation property by comparing it with state-of-the-art methods, and to illustrate its flexibility for handling various mean-field variational problems.