Related papers: A hybrid deep learning method for finite-horizon m…

Hierarchical Reinforcement Learning (HRL) approaches have shown successful results in solving a large variety of complex, structured, long-horizon problems. Nevertheless, a full theoretical understanding of this empirical evidence is…

Hybrid systems, and Piecewise Deterministic Markov Processes in particular, are widely used to model and numerically study systems exhibiting multiple time scales in biochemical reaction kinetics and related areas. In this paper an almost…

This paper focuses on discussing Newton's method and its hybrid with machine learning for the steady state Navier-Stokes Darcy model discretized by mixed element methods. First, a Newton iterative method is introduced for solving the…

Recently, Sidford, Wang, Wu and Ye (2018) developed an algorithm combining variance reduction techniques with value iteration to solve discounted Markov decision processes. This algorithm has a sublinear complexity when the discount factor…

We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and absorption. This algorithm allows to approximate the mean…

We propose a data-driven mean-curvature solver for the level-set method. This work is the natural extension to $\mathbb{R}^3$ of our two-dimensional strategy in [DOI: 10.1007/s10915-022-01952-2][1] and the hybrid inference system of [DOI:…

We introduce a new Markov Chain Monte Carlo (MCMC) algorithm with parallel tempering for fitting theoretical models of horizon-scale images of black holes to the interferometric data from the Event Horizon Telescope (EHT). The algorithm…

Markov Chain Monte Carlo methods are widely used in signal processing and communications for statistical inference and stochastic optimization. In this work, we introduce an efficient adaptive Metropolis-Hastings algorithm to draw samples…

Multi-agent reinforcement learning methods have shown remarkable potential in solving complex multi-agent problems but mostly lack theoretical guarantees. Recently, mean field control and mean field games have been established as a…

We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…

In this paper, we apply the Monte Carlo stochastic optimization (MOST) proposed by the authors to a deep learning of XOR gate and verify its effectiveness. Deep machine learning based on neural networks is one of the most important keywords…

We consider discrete-time stationary mean field games (MFG) with unknown dynamics and design algorithms for finding the equilibrium with finite-time complexity guarantees. Prior solutions to the problem assume either the contraction of a…

We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…

We present a highly efficient proximal Markov chain Monte Carlo methodology to perform Bayesian computation in imaging problems. Similarly to previous proximal Monte Carlo approaches, the proposed method is derived from an approximation of…

In the context of Markov decision processes running in continuous time, one of the most intriguing challenges is the efficient approximation of finite horizon reachability objectives. A multitude of sophisticated model checking algorithms…

An algorithm for estimating quasi-stationary distribution of finite state space Markov chains has been proven in a previous paper. Now this paper proves a similar algorithm that works for general state space Markov chains under very general…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…

In this paper we propose new algorithm to reduce autocorrelation in Markov chain Monte-Carlo algorithms for euclidean field theories on the lattice. Our proposing algorithm is the Hybrid Monte-Carlo algorithm (HMC) with restricted Boltzmann…

This paper proposes and analyzes two neural network methods to solve the master equation for finite-state mean field games (MFGs). Solving MFGs provides approximate Nash equilibria for stochastic, differential games with finite but large…