4 papers
Diffusion Models for Adaptive Sequential Data Generation
Haoyang Cao, Minshuo Chen, Yinbin Han +1
Generating realistic synthetic sequential data is critical in real-world applications across operations research, finance, healthcare, energy systems, and scientific computing, whe…
Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients
Haoyang Cao, Jesse Hoekstra, Renyuan Xu +2
Bi-causal optimal transport (OT) is a natural framework for comparing and coupling stochastic processes under nonanticipative information constraints, with important applications i…
Risk-sensitive Markov Decision Process and Learning under General Utility Functions
Zhengqi Wu, Renyuan Xu
Reinforcement Learning (RL) has gained substantial attention across diverse application domains and theoretical investigations. Existing literature on RL theory largely focuses on…
Inference of Utilities and Time Preference in Sequential Decision-Making
Haoyang Cao, Zhengqi Wu, Renyuan Xu
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investme…