Related papers: A Mean-Field Optimal Control Formulation of Deep L…
The goal of this work is to obtain optimal rates for the convergence problem in mean field control. Our analysis covers cases where the solutions to the limiting problem may not be unique nor stable. Equivalently the value function of the…
We propose two algorithms for the solution of the optimal control of ergodic McKean-Vlasov dynamics. Both algorithms are based on approximations of the theoretical solutions by neural networks, the latter being characterized by their…
The framework of reinforcement learning or optimal control provides a mathematical formalization of intelligent decision making that is powerful and broadly applicable. While the general form of the reinforcement learning problem enables…
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a…
Ever since the concepts of dynamic programming were introduced, one of the most difficult challenges has been to adequately address high-dimensional control problems. With growing dimensionality, the utilisation of Deep Neural Networks…
We study the problem of generating control laws for systems with unknown dynamics. Our approach is to represent the controller and the value function with neural networks, and to train them using loss functions adapted from the…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
Solving real-world optimal control problems are challenging tasks, as the complex, high-dimensional system dynamics are usually unrevealed to the decision maker. It is thus hard to find the optimal control actions numerically. To deal with…
In this paper the connection between stochastic optimal control and reinforcement learning is investigated. Our main motivation is to apply importance sampling to sampling rare events which can be reformulated as an optimal control problem.…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
We propose a physics-informed neural network policy iteration (PINN-PI) framework for solving stochastic optimal control problems governed by second-order Hamilton--Jacobi--Bellman (HJB) equations. At each iteration, a neural network is…
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents. Mean field games have been introduced to…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
This paper proposes a statistically optimal approach for learning a function value using a confidence interval in a wide range of models, including general non-parametric estimation of an expected loss described as a stochastic programming…
In this paper, we address the adversarial training of neural ODEs from a robust control perspective. This is an alternative to the classical training via empirical risk minimization, and it is widely used to enforce reliable outcomes for…
The purpose of this work is to introduce a notion of weak solution to the master equation of a potential mean field game and to prove that existence and uniqueness hold under quite general assumptions. Remarkably, this is achieved without…
Learning optimal feedback control laws capable of executing optimal trajectories is essential for many robotic applications. Such policies can be learned using reinforcement learning or planned using optimal control. While reinforcement…
The framework of deep operator network (DeepONet) has been widely exploited thanks to its capability of solving high dimensional partial differential equations. In this paper, we incorporate DeepONet with a recently developed policy…
In this work we are interested in the mean-field formulation of kinetic models under control actions where the control is formulated through a model predictive control strategy (MPC) with varying horizon. The relation between the (usually…