5 papers
An Iterative Computational Framework for Infinite-Horizon Mean-Field Linear-Quadratic Zero-Sum Stochastic Differential Games
Yiyuan Wang
This work develops an iterative computational framework to obtain saddle-point solutions for infinite-horizon two-person mean-field linear-quadratic zero-sum stochastic differentia…
Reinforcement Learning Method for Zero-Sum Linear-Quadratic Stochastic Differential Games in Infinite Horizons
Yiyuan Wang
In this work, we propose, for the first time, a reinforcement learning framework specifically designed for zero-sum linear-quadratic stochastic differential games. This approach of…
A Nested Iterative Algorithm for Zero-Sum Linear-Quadratic Stochastic Differential Games in an Infinite Horizon
Yiyuan Wang
This paper proposes a new algorithm to compute closed-loop saddle points for infinite-horizon zero-sum linear-quadratic stochastic differential games via structural decoupling. Spe…
A Convergent Algorithm Based on Deterministic Approximation for a Large Class of Regime-Switching Generalized Stochastic Game-Theoretic Riccati Differential Equations
Yiyuan Wang
This paper proposes a novel iterative algorithm to compute the stabilizing solution of regime-switching stochastic game-theoretic Riccati differential equations with periodic coeff…
A New Algorithm for Computing the Stabilizing Solution of General Periodic Time-Varying Stochastic Game-Theoretic Riccati Differential Equations
Yiyuan Wang
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Diffe…