2 papers
math.OC2025
Mean-Field Game of Relative Performance Portfolio for Two Populations with Poisson Common Noise
Yuchen Li, Zongxia Liang, Xiang Yu
This paper studies the mean field game (MFG) and N-player game on relative performance portfolio management with two heterogeneous populations. In addition to the Brownian idiosync…
math.OC2024
Block majorization-minimization with diminishing radius for constrained nonsmooth nonconvex optimization
Hanbaek Lyu, Yuchen Li
Block majorization-minimization (BMM) is a simple iterative algorithm for constrained nonconvex optimization that sequentially minimizes majorizing surrogates of the objective func…