42 citations · 300 across the 66 of their papers we have counts for
9 papers · 1 filter
Linear convergence of a policy gradient method for some finite horizon continuous time control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamic…
Markov decision processes with observation costs: framework and computation with a penalty scheme
Christoph Reisinger, Jonathan Tam
We consider Markov decision processes where the state of the chain is only given at chosen observation times and of a cost. Optimal strategies involve the optimisation of observati…
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with…
A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We propose a PDE-based accelerated gradient algorithm for optimal feedback controls of McKean-Vlasov dynamics that involve mean-field interactions both in the state and action. The…
Optimal regularity of extended mean field controls and their piecewise constant approximation
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We consider the control of McKean-Vlasov dynamics whose coefficients have mean field interactions in the state and control. We show that for a class of linear-convex mean field con…
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
Athena Picarelli, Christoph Reisinger
We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama…