3 papers
math.OC2025
Convergence Rates of Time Discretization in Extended Mean Field Control
Christoph Reisinger, Wolfgang Stockinger, Maria Olympia Tsianni +1
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approxi…
math.PR2025
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems
Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger
We study a class of McKean--Vlasov Stochastic Differential Equations (MV-SDEs) with drifts and diffusions having super-linear growth in measure and space -- the maps have general p…
math.OC2024
A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We propose a PDE-based accelerated gradient algorithm for optimal feedback controls of McKean-Vlasov dynamics that involve mean-field interactions both in the state and action. The…