SIMAI 2025

Tensor-Train-Based Semi-Lagrangian Schemes for High-Dimensional Mean Field Games

  • Carlini, Elisabetta (Sapienza, University of Rome)
  • Saluzzi, Luca (Sapienza, University of Rome)

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Mean field games (MFGs) provide a powerful framework for modeling decision-making in large populations of interacting agents. However, solving high-dimensional MFG problems remains a significant computational challenge due to the curse of dimensionality. In this talk, we present a novel approach based on combining Semi-Lagrangian (SL) schemes with tensor-train (TT) decompositions to efficiently approximate solutions of high-dimensional MFGs. Semi-Lagrangian (SL) schemes allow us to derive a semi discrete in time approximations of the Hamilton-Jacobi-Bellman and Fokker-Planck-Kolmogorov equations, inherent in MFG models. By combining TT representations with SL discretizations, we achieve a scalable and memory-efficient numerical scheme that mitigates the exponential growth in computational complexity. We discuss theoretical properties of the method, numerical accuracy, and demonstrate its effectiveness through computational experiments on high-dimensional test cases.