Policy iteration method for time-dependent Mean Field Games systems with non-separable Hamiltonians

Abstract

We introduce two algorithms based on a policy iteration method to numerically solve time-dependent Mean Field Game systems of partial differential equations with non-separable Hamiltonians. We prove the convergence of such algorithms in sufficiently small time intervals with Banach fixed point method. Moreover, we prove that the convergence rates are linear. We illustrate our theoretical results by numerical examples, and we discuss the performance of the proposed algorithms.