most citedEntropic Fictitious Play for Mean Field Optimization Problem

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math.OC2024

Deciding Bank Interest Rates -- A Major-Minor Impulse Control Mean-Field Game Perspective

Fan Chen, Nicholas Martin, Po-Yu Chen +3

Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditi…

math.OC2022★ 1 cited

Entropic Fictitious Play for Mean Field Optimization Problem

Fan Chen, Zhenjie Ren, Songbo Wang

We study two-layer neural networks in the mean field limit, where the number of neurons tends to infinity. In this regime, the optimization over the neuron parameters becomes the o…