Related papers: Kernel-based potential mean-field games with unbia…
We consider a quasi two-dimensional network connection growth model that minimizes the wiring cost while maximizing the network connections, but at the same time edge crossings are penalized or forbidden. This model is mapped to a dilute…
Motivated by continuous-time optimal inventory management, we study a class of stationary mean-field control problems with singular controls. The dynamics are modeled by a mean-reverting Ornstein-Uhlenbeck process, and the performance…
In many applications of machine learning, a large number of variables are considered. Motivated by machine learning of interacting particle systems, we consider the situation when the number of input variables goes to infinity. First, we…
Mean-Field is an efficient way to approximate a posterior distribution in complex graphical models and constitutes the most popular class of Bayesian variational approximation methods. In most applications, the mean field distribution…
Here, we study a one-dimensional, non-local mean-field game model with congestion. When the kernel in the non-local coupling is a trigonometric polynomial we reduce the problem to a finite dimensional system. Furthermore, we treat the…
We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and Cohen (2017). The MFG is formulated in terms of a…
This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…
We consider deterministic Mean Field Games (MFG) in all Euclidean space with a cost functional continuous with respect to the distribution of the agents and attaining its minima in a compact set. We first show that the static MFG with such…
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…
Schr\"{o}dinger bridge--a stochastic dynamical generalization of optimal mass transport--exhibits a learning-control duality. Viewed as a stochastic control problem, the Schr\"{o}dinger bridge finds an optimal control policy that steers a…
In this paper, we propose and study an inverse boundary problem for the mean field games (MFGs) governed by the first-order master equation in a bounded domain. We establish the unique identifiability result by showing that the running cost…
We propose and study several inverse problems for the mean field games (MFG) system in a bounded domain. Our focus is on simultaneously recovering the running cost and the Hamiltonian within the MFG system by the associated boundary…
Mean field control (MFC) problems have been introduced to study social optima in very large populations of strategic agents. The main idea is to consider an infinite population and to simplify the analysis by using a mean field…
We propose a series of computationally efficient nonparametric tests for the two-sample, independence, and goodness-of-fit problems, using the Maximum Mean Discrepancy (MMD), Hilbert Schmidt Independence Criterion (HSIC), and Kernel Stein…
Random Fourier features is a widely used, simple, and effective technique for scaling up kernel methods. The existing theoretical analysis of the approach, however, remains focused on specific learning tasks and typically gives pessimistic…
This article considers a mean field game model inspired by crowd motion models in which agents aim at reaching a given target set and wish to minimize a cost consisting of an individual running cost, an individual cost depending on the…
We study the Schr\"odinger bridge problem when the endpoint distributions are available only through samples. Classical computational approaches estimate Schr\"odinger potentials via Sinkhorn iterations on empirical measures and then…
This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…
Mean-field games with absorption is a class of games, that have been introduced in Campi and Fischer (2018) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players who, interacting…
Finite-state mean-field games (MFGs) arise as limits of large interacting particle systems and are governed by an MFG system, a coupled forward-backward differential equation consisting of a forward Kolmogorov-Fokker-Planck (KFP) equation…