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math.OC2024
Learning to Stop: Deep Learning for Mean Field Optimal Stopping
Lorenzo Magnino, Yuchen Zhu, Mathieu Laurière
Optimal stopping is a fundamental problem in optimization with applications in risk management, finance, robotics, and machine learning. We extend the standard framework to a multi…
math.OC2023★ 3 cited
Deep Learning for Mean Field Optimal Transport
Sebastian Baudelet, Brieuc Frénais, Mathieu Laurière +2
Mean field control (MFC) problems have been introduced to study social optima in very large populations of strategic agents. The main idea is to consider an infinite population and…