Picard-Based Acceleration of Newton Continuation for Mean Field Game PDE Systems

Abstract

We develop a method that uses Picard iterations to accelerate Newton continuation for the semi-implicit finite-difference discretization of forward-backward partial differential equation (PDE) systems arising in mean field games (MFGs). We first investigate the computational properties of the Picard and Newton methods, which are widely used separately in the MFG literature but whose comparative cost and robustness across different regimes remain insufficiently explored and documented. The Picard method uses an outer fixed-point iteration that alternates a forward Fokker-Planck solve and a backward Hamilton-Jacobi-Bellman solve. The Newton method instead applies Newton's method directly to the coupled nonlinear space-time system. Across one- and two-dimensional MFG benchmarks, Picard offers substantial computational savings in favorable regimes, but may fail at sufficiently low viscosity or require strong damping under temporal shocks, making Newton continuation preferable. With parameter continuation in the viscosity parameter, the Newton method is more robust in these regimes, at the cost of larger coupled linear systems. We relate these trade-offs to the residuals, Jacobian blocks, and sparsity structures produced by separable, local nonseparable, and nonlocal Hamiltonians. We then demonstrate how to combine inexpensive Picard iterations with Newton continuation in a hybrid method to reduce the total computational cost for a two- dimensional double-well problem.