425 citations · 594 across the 33 of their papers we have counts for
47 papers
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Robert Denkert, Huyên Pham, Xavier Warin
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control prob…
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu +1
In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a…
Actor critic learning algorithms for mean-field control with moment neural networks
Huyên Pham, Xavier Warin
We develop a new policy gradient and actor-critic algorithm for solving mean-field control problems within a continuous time reinforcement learning setting. Our approach leverages…
A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation
Thomas Deschatre, Xavier Warin
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simulta…
Quantile and moment neural networks for learning functionals of distributions
Xavier Warin
We study news neural networks to approximate function of distributions in a probability space. Two classes of neural networks based on quantile and moment approximation are propose…
Mean-field neural networks-based algorithms for McKean-Vlasov control problems *
Huyên Pham, Xavier Warin
This paper is devoted to the numerical resolution of McKean-Vlasov control problems via the class of mean-field neural networks introduced in our companion paper [25] in order to l…