11 citations · 12 across the 3 of their papers we have counts for
4 papers
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…
Recent Advances in Reinforcement Learning in Finance
Ben Hambly, Renyuan Xu, Huining Yang
The rapid changes in the finance industry due to the increasing amount of data have revolutionized the techniques on data processing and data analysis and brought new theoretical a…
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…
Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
Ben Hambly, Renyuan Xu, Huining Yang
We explore reinforcement learning methods for finding the optimal policy in the linear quadratic regulator (LQR) problem. In particular, we consider the convergence of policy gradi…