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cs.GT2025
Continuous-Time Analysis of Heavy Ball Momentum in Min-Max Games
Yi Feng, Kaito Fujii, Stratis Skoulakis +2
Since Polyak's pioneering work, heavy ball (HB) momentum has been widely studied in minimization. However, its role in min-max games remains largely unexplored. As a key component…
math.OC2025
Langevin Multiplicative Weights Update with Applications in Polynomial Portfolio Management
Yi Feng, Xiao Wang, Tian Xie
We consider nonconvex optimization problem over simplex, and more generally, a product of simplices. We provide an algorithm, Langevin Multiplicative Weights Update (LMWU) for solv…