4 papers
Nesterov acceleration in optimizing over probability measures
Jiaqi Tang, Qin Li, Wilfrid Gangbo
Optimization over probability measures has become an increasingly important paradigm in modern machine learning, scientific computing, and uncertainty quantification. Motivated by…
Master equations with an individual noise on finite state graphs
Wilfrid Gangbo, Sebastian Munoz, Jeremy Wu +1
We develop a classical well-posedness and regularity theory on a finite connected weighted graph for an extended mean field game system, its associated master equation, and a Hamil…
Large -limit of matrix control problems and non-commutative controls
Wilfrid Gangbo, David Jekel, Kyeongsik Nam +1
Building on the free-probability stochastic control framework introduced in arXiv:2502.17329, we connect optimal control problems for random matrix ensembles with thei…
Viscosity Solutions in Non-commutative Variables
Wilfrid Gangbo, David Jekel, Kyeongsik Nam +1
Motivated by parallels between mean field games and random matrix theory, we develop stochastic optimal control problems and viscosity solutions to Hamilton-Jacobi equations in the…