5 papers · 1 filter
Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis
Olivier Bokanowski, Jean-François Chassagneux, Marco Scaratti +1
We study finite-horizon stochastic optimal control problems and approximate the resulting time-discrete formulation by a direct policy-learning problem over neural-network feedback…
Saddle Networks: Structure-Preserving Architectures for Convex-Concave Functions
Xavier Warin
Saddle-point models arise throughout optimization, optimal transport, robust learning, and control. In many applications, the relevant function f(x,y) is convex in x and concave in…
Growth model with externalities for energetic transition via MFG with common external variable
Pierre Lavigne, Quentin Petit, Xavier Warin
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents,…
Learning operators on labelled conditional distributions with applications to mean field control of non exchangeable systems
Samy Mekkaoui, Huyên Pham, Xavier Warin
We study the approximation of operators acting on probability measures on a product space with prescribed marginal. Let be a label space endowed with a reference measure ,…
Representation results and error estimates for differential games with applications using neural networks
Olivier Bokanowski, Xavier Warin
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimat…