1 citations · 1 across the 4 of their papers we have counts for
Showing math.OCShow all
3 papers · 1 filter
math.OC2024
A randomisation method for mean-field control problems with common noise
Robert Denkert, Idris Kharroubi, Huyên Pham
We study mean-field control (MFC) problems with common noise using the control randomisation framework, where we substitute the control process with an independent Poisson point pr…
math.OC2024★ 1 cited
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Robert Denkert, Huyên Pham, Xavier Warin
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control prob…
math.OC2024
Extended mean-field games with multi-dimensional singular controls and non-linear jump impact
Robert Denkert, Ulrich Horst
We establish a probabilistic framework for analysing extended mean-field games with multi-dimensional singular controls and state-dependent jump dynamics and costs. Two key challen…