output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2023 · math.OCShow all

3 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

An entropy penalized approach for stochastic control problems. Complete version

Thibaut Bourdais, Nadia Oudjane, Francesco Russo

In this paper, we propose an original approach to stochastic control problems. We consider a weak formulation that is written as an optimization (minimization) problem on the space…

math.OC2023

Reimagining Demand-Side Management with Mean Field Learning

Bianca Marin Moreno, Margaux Brégère, Pierre Gaillard +1

Integrating renewable energy into the power grid while balancing supply and demand is a complex issue, given its intermittent nature. Demand side management (DSM) offers solutions…