22 citations
- Berkeley CollegeUS1 paper
- CentraleSupélecFR1 paper
- Centre de Recherche en Mathématiques de la DécisionFR1 paper
- Centre Inria de SaclayFR1 paper
- DISCO: Systèmes dynamiques interconnectés dans des environnements complexesFR1 paper
- EDF Energy (United Kingdom)GB1 paper
- Électricité de France (France)FR1 paper
- ETH ZurichCH1 paper
- Imperial College LondonGB1 paper
- Laboratoire des signaux et systèmesFR1 paper
- Princeton UniversityUS1 paper
- Université Paris Dauphine-PSLFR1 paper
5 papers
Mean-field neural networks-based algorithms for McKean-Vlasov control problems *
Huyên Pham, Xavier Warin
This paper is devoted to the numerical resolution of McKean-Vlasov control problems via the class of mean-field neural networks introduced in our companion paper [25] in order to l…
A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
Maximilien Germain, Huyên Pham, Xavier Warin
We consider the control of McKean-Vlasov dynamics (or mean-field control) with probabilistic state constraints. We rely on a level-set approach which provides a representation of t…
DeepSets and their derivative networks for solving symmetric PDEs
Maximilien Germain, Mathieu Laurière, Huyên Pham +1
Machine learning methods for solving nonlinear partial differential equations (PDEs) are hot topical issues, and different algorithms proposed in the literature show efficient nume…
Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic
Emma Hubert, Thibaut Mastrolia, Dylan Possamaï +1
In this work, we provide a general mathematical formalism to study the optimal control of an epidemic, such as the COVID-19 pandemic, via incentives to lockdown and testing. In par…
Decomposition of convex high dimensional aggregative stochasticcontrol problems
Adrien Séguret, Clémence Alasseur, J. Frédéric Bonnans +3
We consider the framework of convex high dimensional stochastic control problems, in which the controls are aggregated in the cost function. As first contribution, we introduce a m…