Related papers: Coordinated Mean-Field Control for Systemic Risk
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three parameters that characterize the system: the…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system. Zakai equation…
This paper is concerned with the problems of optimal control and stabilization for networked control systems (NCSs), where the remote controller and the local controller operate the linear plant simultaneously. The main contributions are…
We consider classical estimators for a class of physically realizable linear quantum systems. Optimal estimation using a complex Kalman filter for this problem has been previously explored. Here, we study robust $H_\infty$ estimation for…
In this article, we propose a very efficient technique to enhance the dynamical robustness for a network of mean-field coupled oscillators experiencing aging transition. In particular, we present a control mechanism based on delayed…
We develop a scalable algorithm for mean field control problems with kernel interactions by combining particle system simulations with random Fourier feature approximations. The method replaces the quadratic-cost kernel evaluations by…
Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…
As we aim to control complex systems, use of a simulator in model-based reinforcement learning is becoming more common. However, it has been challenging to overcome the Reality Gap, which comes from nonlinear model bias and susceptibility…
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium…
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…
This paper, the second of a two-part series, presents a method for mean-field feedback stabilization of a swarm of agents on a finite state space whose time evolution is modeled as a continuous time Markov chain (CTMC). The resulting…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
In this paper we study a class of HJB equations which solve for equilibria for general time-inconsistent deterministic linear quadratic control problems within the intra-personal game theoretic framework, where the inconsistency arises from…
In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding $N$-player games. The theory of mean field game of controls considers a class of mean field games where the…
This paper is concerned with a risk-sensitive optimal control problem for a feedback connection of a quantum plant with a measurement-based classical controller. The plant is a multimode open quantum harmonic oscillator driven by a…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
An approach is presented for robustness analysis and quantum (unitary) control synthesis based on the classic method of averaging. The result is a multicriterion optimization competing the nominal (uncertainty-free) fidelity with a well…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
This paper considers a linear-quadratic (LQ) mean field control problem involving a major player and a large number of minor players, where the dynamics and costs depend on random parameters. The objective is to optimize a social cost as a…