212 citations · 454 across the 29 of their papers we have counts for
3 papers · 1 filter
Differentiating through Stochastic Differential Equations: A Primer
Rishi Leburu, Levon Nurbekyan, Lars Ruthotto
Dynamical systems are essential to model various phenomena in physics, finance, economics, and are also of current interest in machine learning. A central modeling task is investig…
A numerical algorithm for inverse problem from partial boundary measurement arising from mean field game problem
Yat Tin Chow, Samy Wu Fung, Siting Liu +2
In this work, we consider a novel inverse problem in mean-field games (MFG). We aim to recover the MFG model parameters that govern the underlying interactions among the population…
Random Features for High-Dimensional Nonlocal Mean-Field Games
Sudhanshu Agrawal, Wonjun Lee, Samy Wu Fung +1
We propose an efficient solution approach for high-dimensional nonlocal mean-field game (MFG) systems based on the Monte Carlo approximation of interaction kernels via random featu…