4 papers · 1 filter
Two-stage stochastic algorithm for solving large-scale (non)-convex separable optimization problems under affine constraints
Benjamin Dubois-Taine, Laurent Pfeiffer, Nadia Oudjane +2
We consider nonsmooth optimization problems under affine constraints, where the objective consists of the average of the component functions of a large number of agents, and we…
A variational mean field game of controls with free final time and pairwise interactions
Guilherme Mazanti, Laurent Pfeiffer, Saeed Sadeghi Arjmand
This article considers a mean field game model inspired by crowd motion models in which agents aim at reaching a given target set and wish to minimize a cost consisting of an indiv…
A Characterization of Law-Invariant and Coherent Risk Measures through Optimal Transport
Riccardo Bonalli, Benoît Bonnet-Weill, Laurent Pfeiffer
In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of t…
A nonsmooth Frank-Wolfe algorithm through a dual cutting-plane approach
Guilherme Mazanti, Thibault Moquet, Laurent Pfeiffer
An extension of the Frank-Wolfe Algorithm (FWA), also known as Conditional Gradient algorithm, is proposed. In its standard form, the FWA allows to solve constrained optimization p…