181 citations · 542 across the 33 of their papers we have counts for
Showing 2023 · math.PRShow all
3 papers · 2 filters
math.PR2023
Projected Langevin dynamics and a gradient flow for entropic optimal transport
Giovanni Conforti, Daniel Lacker, Soumik Pal
The classical (overdamped) Langevin dynamics provide a natural algorithm for sampling from its invariant measure, which uniquely minimizes an energy functional over the space of pr…
math.PR2023★ 1 cited
Independent projections of diffusions: Gradient flows for variational inference and optimal mean field approximations
Daniel Lacker
What is the optimal way to approximate a high-dimensional diffusion process by one in which the coordinates are independent? This paper presents a construction, called the \emph{in…
math.PR2023★ 3 cited
Approximately optimal distributed stochastic controls beyond the mean field setting
Joe Jackson, Daniel Lacker
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in…