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20142026
most citedFinite-Size Scaling of a First-Order Dynamical Phase Transition: Adaptive Population Dynamics and an Effective Model

84 citations

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Showing 2023 · math.OCShow all

5 papers · 2 filters

math.OC2023

Efficient Model-Based Concave Utility Reinforcement Learning through Greedy Mirror Descent

Bianca Marin Moreno, Margaux Brégère, Pierre Gaillard +1

Many machine learning tasks can be solved by minimizing a convex function of an occupancy measure over the policies that generate them. These include reinforcement learning, imitat…

math.OC2023

Non-linear non-zero-sum Dynkin games with Bermudan strategies

Miryana Grigorova, Marie-Claire Quenez, Yuan Peng

In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functio…

math.OC2023

Generative modeling for time series via Schr{ö}dinger bridge

Mohamed Hamdouche, Pierre Henry-Labordere, Huyên Pham

We propose a novel generative model for time series based on Schr{ö}dinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a referen…

math.OC2023

Discrete-time Mean-Field Stochastic Control with Partial Observations

Jeremy Chichportich, Idris Kharroubi

We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with…

math.OC2023★ 1 cited

Non asymptotic analysis of Adaptive stochastic gradient algorithms and applications

Antoine Godichon-Baggioni, Pierre Tarrago

In stochastic optimization, a common tool to deal sequentially with large sample is to consider the well-known stochastic gradient algorithm. Nevertheless, since the stepsequence i…