3 citations · 3 across the 7 of their papers we have counts for
7 papers
Numerical Approximation for Path-Dependent McKean-Vlasov Control with Non-Asymptotic Error Estimates
Olivier Bokanowski, Jean-Francois Chassagneux, Xinyu Li +1
Path-dependent McKean--Vlasov (MKV) control models large interacting populations with history-dependent dynamics and costs. This paper develops a unified approximation-and-learning…
Model-free policy gradient for discrete-time mean-field control
Matthieu Meunier, Huyên Pham, Christoph Reisinger
We study model-free policy learning for discrete-time mean-field control (MFC) problems with finite state space and compact action space. In contrast to the extensive literature on…
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…
Weighted Conditional Flow Matching
Sergio Calvo-Ordonez, Matthieu Meunier, Alvaro Cartea +3
Conditional flow matching (CFM) has emerged as a powerful framework for training continuous normalizing flows due to its computational efficiency and effectiveness. However, standa…
Efficient Learning for Entropy-Regularized Markov Decision Processes via Multilevel Monte Carlo
Matthieu Meunier, Christoph Reisinger, Yufei Zhang
Designing efficient learning algorithms with complexity guarantees for Markov decision processes (MDPs) with large or continuous state and action spaces remains a fundamental chall…
Limit Order Book Simulation and Trade Evaluation with -Nearest-Neighbor Resampling
Michael Giegrich, Roel Oomen, Christoph Reisinger
In this paper, we show how -nearest neighbor (-NN) resampling, an off-policy evaluation method proposed in \cite{giegrich2023k}, can be applied to simulate limit order book (…
Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
Michael Giegrich, Christoph Reisinger, Yufei Zhang
We study the global linear convergence of policy gradient (PG) methods for finite-horizon continuous-time exploratory linear-quadratic control (LQC) problems. The setting includes…