2024
MF-OMO: An Optimization Formulation of Mean-Field Games.
SIAM J. Control. Optim., February, 2024
Connecting GANs, Mean-Field Games, and Optimal Transport.
SIAM J. Appl. Math., 2024
Stochastic differential equation approximations of generative adversarial network training and its long-run behavior.
J. Appl. Probab., 2024
Transportation Market Rate Forecast Using Signature Transform.
CoRR, 2024
Transportation Marketplace Rate Forecast Using Signature Transform.
Proceedings of the 30th ACM SIGKDD Conference on Knowledge Discovery and Data Mining, 2024
2023
Dynamic Programming Principles for Mean-Field Controls with Learning.
Oper. Res., July, 2023
A General Framework for Learning Mean-Field Games.
Math. Oper. Res., May, 2023
Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls.
SIAM J. Control. Optim., April, 2023
Fast Policy Learning for Linear Quadratic Regulator with Entropy Regularization.
CoRR, 2023
Risk of Transfer Learning and its Applications in Finance.
CoRR, 2023
Towards An Analytical Framework for Potential Games.
CoRR, 2023
Transfer Learning for Portfolio Optimization.
CoRR, 2023
MESOB: Balancing Equilibria & Social Optimality.
CoRR, 2023
Feasibility of Transfer Learning: A Mathematical Framework.
CoRR, 2023
MFGLib: A Library for Mean-Field Games.
CoRR, 2023
Feasibility and Transferability of Transfer Learning: A Mathematical Framework.
CoRR, 2023
2022
Entropy Regularization for Mean Field Games with Learning.
Math. Oper. Res., November, 2022
A Class of Stochastic Games and Moving Free Boundary Problems.
SIAM J. Control. Optim., 2022
Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls.
Math. Oper. Res., 2022
Logarithmic Regret for Episodic Continuous-Time Linear-Quadratic Reinforcement Learning over a Finite-Time Horizon.
J. Mach. Learn. Res., 2022
Meta-learning with GANs for anomaly detection, with deployment in high-speed rail inspection system.
CoRR, 2022
Theoretical Guarantees of Fictitious Discount Algorithms for Episodic Reinforcement Learning and Global Convergence of Policy Gradient Methods.
Proceedings of the Thirty-Sixth AAAI Conference on Artificial Intelligence, 2022
2021
Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis.
SIAM J. Math. Data Sci., 2021
Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach.
CoRR, 2021
An SDE Framework for Adversarial Training, with Convergence and Robustness Analysis.
CoRR, 2021
Generative Adversarial Network: Some Analytical Perspectives.
CoRR, 2021
Relaxed Wasserstein with Applications to GANs.
Proceedings of the IEEE International Conference on Acoustics, 2021
2020
Approximation and convergence of GANs training: an SDE approach.
CoRR, 2020
Q-Learning for Mean-Field Controls.
CoRR, 2020
Connecting GANs and MFGs.
CoRR, 2020
2019
Stochastic Games for Fuel Follower Problem: N versus Mean Field Game.
SIAM J. Control. Optim., 2019
Sparsemax and Relaxed Wasserstein for Topic Sparsity.
Proceedings of the Twelfth ACM International Conference on Web Search and Data Mining, 2019
Learning Mean-Field Games.
Proceedings of the Advances in Neural Information Processing Systems 32: Annual Conference on Neural Information Processing Systems 2019, 2019
2017
Ambiguity set and learning via Bregman and Wasserstein.
CoRR, 2017
2011
Optimal spot market inventory strategies in the presence of cost and price risk.
Math. Methods Oper. Res., 2011
2010
Impulse Control of Multidimensional Jump Diffusions.
SIAM J. Control. Optim., 2010
2009
Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes.
SIAM J. Control. Optim., 2009
A Class of Singular Control Problems and the Smooth Fit Principle.
SIAM J. Control. Optim., 2009
Credit Risk Models with Incomplete Information.
Math. Oper. Res., 2009
2008
Connections between Singular Control and Optimal Switching.
SIAM J. Control. Optim., 2008
Connecting singular control with optimal switching.
Proceedings of the 47th IEEE Conference on Decision and Control, 2008
2005
On the optimality of conditional expectation as a Bregman predictor.
IEEE Trans. Inf. Theory, 2005
Optimal selling rules in a regime switching model.
IEEE Trans. Autom. Control., 2005
Irreversible investment with regime shifts.
J. Econ. Theory, 2005
2004
Optimal probabilistic routing in distributed parallel queues.
SIGMETRICS Perform. Evaluation Rev., 2004
Closed-Form Solutions for Perpetual American Put Options with Regime Switching.
SIAM J. Appl. Math., 2004
Optimal Bregman prediction and Jensen's equality.
Proceedings of the 2004 IEEE International Symposium on Information Theory, 2004