4 citations · 8 across the 6 of their papers we have counts for
5 papers · 1 filter
Convergence Rates of Time Discretization in Extended Mean Field Control
Christoph Reisinger, Wolfgang Stockinger, Maria Olympia Tsianni +1
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approxi…
An Offline Learning Approach to Propagator Models
Eyal Neuman, Wolfgang Stockinger, Yufei Zhang
We consider an offline learning problem for an agent who first estimates an unknown price impact kernel from a static dataset, and then designs strategies to liquidate a risky asse…
Linear convergence of a policy gradient method for some finite horizon continuous time control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamic…
A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We propose a PDE-based accelerated gradient algorithm for optimal feedback controls of McKean-Vlasov dynamics that involve mean-field interactions both in the state and action. The…
Optimal regularity of extended mean field controls and their piecewise constant approximation
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We consider the control of McKean-Vlasov dynamics whose coefficients have mean field interactions in the state and control. We show that for a class of linear-convex mean field con…