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09/21/2022
Joint Stochastic Model for Electric Load, Solar and Wind Power at Asset Level and Monte Carlo Scenario GenerationRené Carmona & Xinshuo Yang
For the purpose of Monte Carlo scenario generation, we propose a graphic...
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01/13/2022
Mean Field Model for an Advertising Competition in a Duopoly
In this study, we analyze an advertising competition in a duopoly. We co...
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11/16/2021
GLASSO Model for Electric Load and Wind Power and Monte Carlo Scenario Generation
For the purpose of Monte Carlo scenario generation, we propose a graphic...
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07/09/2021
Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance
Financial markets and more generally macro-economic models involve a lar...
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09/02/2020
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games
In this paper, zero-sum mean-field type games (ZSMFTG) with linear dynam...
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09/01/2020
Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization
In this paper, zero-sum mean-field type games (ZSMFTG) with linear dynam...
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10/28/2019
Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning
We develop a general reinforcement learning framework for mean field con...
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10/09/2019
Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods
We investigate reinforcement learning for mean field control problems in...
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08/05/2019
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II -- The Finite Horizon Case
We propose two numerical methods for the optimal control of McKean-Vlaso...
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07/13/2019