16 citations · 101 across the 22 of their papers we have counts for
8 papers · 1 filter
Fast Policy Learning for Linear Quadratic Control with Entropy Regularization
Xin Guo, Xinyu Li, Renyuan Xu
This paper proposes and analyzes two new policy learning methods: regularized policy gradient (RPG) and iterative policy optimization (IPO), for a class of discounted linear-quadra…
Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions
Ben Hambly, Renyuan Xu, Huining Yang
We consider two-player non-zero-sum linear-quadratic Gaussian games in which both players aim to minimize a quadratic cost function while controlling a linear and stochastic state…
Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
Ben Hambly, Renyuan Xu, Huining Yang
We consider a general-sum N-player linear-quadratic game with stochastic dynamics over a finite horizon and prove the global convergence of the natural policy gradient method to th…
Entropy Regularization for Mean Field Games with Learning
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
Entropy regularization has been extensively adopted to improve the efficiency, the stability, and the convergence of algorithms in reinforcement learning. This paper analyzes both…
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Rama Cont, Xin Guo, Renyuan Xu
We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto opt…
Dynamic Programming Principles for Mean-Field Controls with Learning
Haotian Gu, Xin Guo, Xiaoli Wei +1
Dynamic programming principle (DPP) is fundamental for control and optimization, including Markov decision problems (MDPs), reinforcement learning (RL), and more recently mean-fiel…
Learning Mean-Field Games
Xin Guo, Anran Hu, Renyuan Xu +1
This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the e…
Stochastic Games for Fuel Followers Problem: N vs MFG
Xin Guo, Renyuan Xu
In this paper we formulate and analyze an -player stochastic game of the classical fuel follower problem and its Mean Field Game (MFG) counterpart. For the -player game, we o…