ManifoldFR / entropic-mfg

Library for solving variational mean-field games using optimal transport and the Sinkhorn algorithm

Entropic variational mean-field games

This C++ library implements methods for solving second order variational mean-field games using an entropy minimization approach. Comes with Python bindings using Pybind11.

This is a rewrite of my own Python/Cython implementation: https://github.com/ManifoldFR/mva-optimaltransport/tree/master/project.

Dependencies

We use the powerful C++ matplotlib bindings. Grab the header with wget:

wget https://raw.githubusercontent.com/lava/matplotlib-cpp/master/matplotlibcpp.h

References

• Jean-David Benamou, Guillaume Carlier, Simone Marino, Luca Nenna. An entropy minimization approach to second-order variational mean-field games. 2019. ⟨hal-01848370v4⟩