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In this paper, we study efficient approximate sampling for probability distributions known up to normalization constants. We specifically focus on a problem class arising in Bayesian inference for large-scale inverse problems in science and…
Generative adversarial networks (GANs) are a class of generative models, known for producing accurate samples. The key feature of GANs is that there are two antagonistic neural networks: the generator and the discriminator. The main…
As demonstrated by Ratliff et al. (2014), inverse optimization can be used to recover the objective function parameters of players in multi-player Nash games. These games involve the optimization problems of multiple players in which the…
In Feinstein and Rudloff (2023), it was shown that the set of Nash equilibria for any non-cooperative $N$ player game coincides with the set of Pareto optimal points of a certain vector optimization problem with non-convex ordering cone. To…
State-space models (SSMs) are a broad class of probabilistic models for dynamical systems with many applications in engineering and science. Bayesian filtering is analytically tractable only in the linear-Gaussian setting, where the Kalman…
We consider evolutionary dynamics for population games in which players have a continuum of strategies at their disposal. Models in this setting amount to infinite-dimensional differential equations evolving on the manifold of probability…
We address the generalized Nash equilibrium seeking problem in a partial-decision information scenario, where each agent can only exchange information with some neighbors, although its cost function possibly depends on the strategies of all…
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods…
Save for some special cases, current training methods for Generative Adversarial Networks (GANs) are at best guaranteed to converge to a `local Nash equilibrium` (LNE). Such LNEs, however, can be arbitrarily far from an actual Nash…
Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…
In this work, we establish near-linear and strong convergence for a natural first-order iterative algorithm that simulates Von Neumann's Alternating Projections method in zero-sum games. First, we provide a precise analysis of Optimistic…
We study the existence and computation of Nash equilibria in concave games where the players' admissible strategies are subject to shared coupling constraints. Under playerwise concavity of constraints, we prove existence of Nash…
We formulate probabilistic numerical approximations to solutions of ordinary differential equations (ODEs) as problems in Gaussian process (GP) regression with non-linear measurement functions. This is achieved by defining the measurement…
Aiming to provide a new class of game dynamics with good long-term rationality properties, we derive a second-order inertial system that builds on the widely studied "heavy ball with friction" optimization method. By exploiting a well-known…
Solution methods for generalized Nash equilibrium have been dominated by variational inequalities and complementarity problems. Since these approaches fundamentally rely on the sufficiency of first-order optimality conditions for the…
Iterative methods for fitting a Gaussian Random Field (GRF) model via maximum likelihood (ML) estimation requires solving a nonconvex optimization problem. The problem is aggravated for anisotropic GRFs where the number of covariance…
We study power control in optimization and game frameworks. In the optimization framework there is a single decision maker who assigns network resources and in the game framework users share the network resources according to Nash…
Gaussian mixtures are a powerful and widely used tool to model non-Gaussian estimation problems. They are able to describe measurement errors that follow arbitrary distributions and can represent ambiguity in assignment tasks like point set…
We study the multi-strategy stochastic evolutionary game with death-birth updating in expanding spatial populations of size $N\to \infty$. The model is a voter model perturbation. For typical populations, we require perturbation strengths…
In this note, we develop Fourier approximation methods for the solutions of first-order nonlocal mean-field games (MFG) systems. Using Fourier expansion techniques, we approximate a given MFG system by a simpler one that is equivalent to a…