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math.OC2024
Optimal Control of the Nonlinear Stochastic Fokker--Planck Equation
Ben Hambly, Philipp Jettkant
We consider a control problem for the nonlinear stochastic Fokker--Planck equation. This equation describes the evolution of the distribution of nonlocally interacting particles af…
math.OC2021★ 1 cited
Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
Ben Hambly, Renyuan Xu, Huining Yang
We consider a general-sum N-player linear-quadratic game with stochastic dynamics over a finite horizon and prove the global convergence of the natural policy gradient method to th…