| Abstract: |
| We propose a monotone splitting algorithm for solving a class of second-order non-potential mean-field games. Following [Achdou, Capuzzo-Dolcetta, Mean Field Games: Numerical Methods, SINUM (2010)], we introduce a finite-difference scheme and observe that the scheme represents first-order optimality conditions for a primal-dual pair of monotone inclusions. Based on this observation, we prove that the finite-difference system obtains a solution that can be provably recovered by an extension of the celebrated primal-dual hybrid gradient (PDHG) algorithm. |
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