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math.PR2022
Convergence of Simulated Annealing Using Kinetic Langevin Dynamics
Xuedong He, Xiaolu Tan, Ruocheng Wu
We study the simulated annealing algorithm based on the kinetic Langevin dynamics, in order to find the global minimum of a non-convex potential function. For both the continuous t…
math.OC2022
Entropic optimal planning for path-dependent mean field games
Zhenjie Ren, Xiaolu Tan, Nizar Touzi +1
In the context of mean field games, with possible control of the diffusion coefficient, we consider a path-dependent version of the planning problem introduced by P.L. Lions: given…