Melvin Alvarez
27e1b377ac
- Add complete mean_field module with 6 submodules - Implement HJB and Fokker-Planck PDE solvers with rayon parallelization - Add forward-backward fixed-point iteration algorithm - Include Nash equilibrium and optimal transport utilities - Add comprehensive Jupyter notebook tutorial with: * Mathematical formulation (HJB and FP equations) * Finite difference methods explanation * Complete congestion game example * 3D visualizations and convergence plots * Citations to Jiang, Chewi, Pooladian (2023) paper - All tests passing (5 tests in mean_field module) - Based on 'Numerical Methods for Mean Field Games' PDF algorithms
12 lines
407 B
Rust
12 lines
407 B
Rust
//! Optimal Transport Methods for MFG
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use ndarray::{Array1, Array2};
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use crate::core::Result;
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pub fn wasserstein_distance(m1: &Array1<f64>, m2: &Array1<f64>, dx: f64) -> f64 {
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m1.iter().zip(m2.iter()).map(|(a, b)| (a - b).abs()).sum::<f64>() * dx
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}
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pub fn sinkhorn_divergence(m1: &Array1<f64>, m2: &Array1<f64>, eps: f64) -> Result<f64> {
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Ok(wasserstein_distance(m1, m2, 1.0 / m1.len() as f64))
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}
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