Topics in Stochastic Control: Finance, Epidemics, and Machine Learning

随机控制主题：金融、流行病和机器学习

• 批准号: 2109002
• 负责人: Yu-Jui Huang
• 金额: $ 27.34万
• 依托单位: University of Colorado at Boulder
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2021
• 资助国家: 美国
• 起止时间: 2021-08-01 至 2024-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=2109002&HistoricalAwards=false
• 关键词: Topics; Stochastic; Control; Finance; Epidemics

This project, consisting of four main topics, aims to create integrated knowledge across mathematical finance, mathematical epidemiology, and machine learning. Topic 1 explores a new method to resolving time inconsistency in optimization. For example, long-term financial planning in a society must confront time inconsistency (as different generations may not agree on an optimal financial planning strategy). The fixed-point approach to be developed will provide a convenient technical tool for policymakers to find equilibria between generations, or strategies acceptable to all generations. Topic 2 integrates economic analysis into traditional epidemic modeling. It will capture how an epidemic alters individuals' behaviors and how this change of behaviors ultimately influences the epidemic's evolution. The aim is to facilitate policymaking that anticipates people's reactions to an epidemic. Topic 3 approaches student loans from two complementary angles: how the debt accumulates over a student's years of study and how to repay the debt in a cost-efficient way. This study aims to provide individual borrowers with real savings and policymakers with concrete quantitative tools. Topic 4 devises new types of gradient flows to strengthen techniques in machine learning. It will provide rigorous mathematical foundations for the design of algorithms and more flexibility to accommodate unknown dynamics. Undergraduate and graduate students will be involved in this project. The project will develop the fixed-point approach (Topic 1) by merging theory for stochastic flows of diffeomorphisms with convergence theory for stochastic processes. Such a link will give new convergence results for functionals of controlled diffusions and would allow equilibrium controls to be characterized as fixed points of an operator and conveniently found via fixed-point iterations. Behavioral models for epidemics (Topic 2) rely on a three-population model of consumption behaviors of the susceptible, infected, and recovered. The associated Hamilton-Jacobi-Bellman (HJB) equation involves unusual nonlinearity due to controllable jumps, which will be approached by a combination of viscosity solutions techniques. A student's debt accumulation and optimal repayment (Topic 3) will be investigated through a mean field game whose Hamiltonian may not admit a maximizer and a random-horizon control problem with a stochastically evolving constraint. Resolving them will demand a vanishing viscosity method based on generalized solutions to a mean field game system and a random-horizon stochastic Pontryagin maximum principle. New types of gradient flows (Topic 4) will be driven by (i) a Langevin-type McKean-Vlasov stochastic differential equation (SDE) or (ii) a coupled system of a Langevin SDE and a controlled diffusion. Interconnections among SDEs, nonlinear Fokker-Planck equations, and HJB equations will be investigated to uncover the gradient flows' invariant distributions. This will facilitate new stochastic gradient descent approaches to both static and dynamic optimization in the space of probability measures.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

该项目由四个主要主题组成，旨在创建数学金融，数学流行病学和机器学习的综合知识。主题1探讨了一种新的解决优化问题中时间不一致性的方法。例如，一个社会的长期财务规划必须面对时间的不一致性（因为不同世代的人可能不会就最佳财务规划策略达成一致）。将制定的固定点办法将为决策者提供一个方便的技术工具，以找到各代人之间的平衡，或各代人都能接受的战略。主题2将经济分析融入传统的流行病建模。它将捕捉流行病如何改变个人的行为，以及这种行为的变化最终如何影响流行病的演变。其目的是促进预测人们对流行病的反应的决策。主题3从两个互补的角度探讨学生贷款：债务如何在学生多年的学习中积累，以及如何以具有成本效益的方式偿还债务。本研究旨在为个人借款人提供真实的储蓄和政策制定者提供具体的量化工具。主题4设计了新类型的梯度流，以加强机器学习技术。它将为算法的设计提供严格的数学基础，并为适应未知动态提供更大的灵活性。本科生和研究生将参与这个项目。该项目将通过合并随机流理论和随机过程的收敛理论来发展不动点方法（主题1）。这样一个链接将得到新的收敛结果的泛函控制扩散，并允许平衡控制的特点是作为一个运营商的不动点，方便地发现通过不动点迭代。流行病的行为模型（主题2）依赖于易感者、感染者和康复者的消费行为的三种群模型。相关的Hamilton-Jacobi-Bellman（HJB）方程涉及不寻常的非线性，由于可控的跳跃，这将是接近的粘性解决方案的组合技术。学生的债务积累和最优偿还（专题3）将通过一个平均场博弈，其哈密顿量可能不允许一个最大化和随机时域控制问题与随机演化约束进行研究。解决这些问题需要一种基于平均场博弈系统的广义解和随机时域随机庞特里亚金最大值原理的粘性消失方法。新类型的梯度流（专题4）将由（i）Langevin型McKean-Vlasov随机微分方程或（ii）Langevin型随机微分方程和受控扩散的耦合系统驱动。我们将研究偏微分方程、非线性福克-普朗克方程和HJB方程之间的相互联系，以揭示梯度流的不变分布。这将促进新的随机梯度下降方法，以静态和动态优化的空间概率measures.This奖项反映了NSF的法定使命，并已被认为是值得通过评估使用基金会的智力价值和更广泛的影响审查标准的支持。

项目成果

GANs as Gradient Flows that Converge

• DOI: 10.48550/arxiv.2205.02910
• 发表时间: 2022-05
• 期刊: ArXiv
• 作者: Yu‐Jui Huang;Yuchong Zhang

Minimizing the Repayment Cost of Federal Student Loans

最大限度地降低联邦学生贷款的偿还成本

• DOI: 10.1137/22m1505840
• 发表时间: 2022
• 期刊: SIAM Review
• 影响因子: 10.2
• 作者: Guasoni, Paolo;Huang, Yu-Jui
• 通讯作者: Huang, Yu-Jui

On characterizing optimal Wasserstein GAN solutions for non-Gaussian data

• DOI: 10.1109/isit54713.2023.10206785
• 发表时间: 2023-06
• 期刊: 2023 IEEE International Symposium on Information Theory (ISIT)
• 作者: Yujia Huang;Shih-Chun Lin;Yu-Chih Huang;Kuan-Hui Lyu;Hsin-Hua Shen;Wan-Yi Lin