arXiv subjects

Diogo Gomes

Publications and source records attributed to Diogo Gomes.

At least 37 records · Page 2Linked to original sources

arXiv2022

A Variational Approach For Price Formation Models In One Dimension

In this paper, we study a class of first-order mean-field games (MFGs) that model price formation. Using Poincar{é} Lemma, we eliminate one of the equations and obtain a variational problem for a single function. This variational problem offers an alternative approach for the numerical solution of the original MFGs system. We show a correspondence between solutions of the MFGs system and the variational problem. Moreover, we address the existence of solutions for the variational problem using the direct method in the calculus of variations. We end the paper with numerical results for a linear-quadratic model.

math.AP↗

arXiv2022

The Potential Method For Price-Formation Models

We consider the mean-field game price formation model introduced by Gomes and Saúde. In this MFG model, agents trade a commodity whose supply can be deterministic or stochastic. Agents maximize profit, taking into account current and future prices. The balance between supply and demand determines the price. We introduce a potential function that converts the MFG into a convex variational problem. This variational formulation is particularly suitable for machine learning approaches. Here, we use a recurrent neural network to solve this problem. In the last section of the paper, we compare our results with known analytical solutions.

math.NA↗

arXiv2021

Discrete Approximation Of Stationary Mean Field Games

In this paper, we focus on stationary (ergodic) mean-field games (MFGs). These games arise in the study of the long-time behavior of finite-horizon MFGs. Motivated by a prior scheme for Hamilton-Jacobi equations introduced in Aubry-Mather's theory, we introduce a discrete approximation to stationary MFGs. Relying on Kakutani's fixed-point theorem, we prove the existence and uniqueness (up to additive constant) of solutions to the discrete problem. Moreover, we show that the solutions to the discrete problem converge, uniformly in the nonlocal case and weakly in the local case, to the classical solutions of the stationary problem.

math.AP↗

arXiv2021

A duality approach to a price formation MFG model

We study the connection between the Aubry-Mather theory and a mean-field game (MFG) price-formation model. We introduce a framework for Mather measures that is suited for constrained time-dependent problems in R. Then, we propose a variational problem on a space of measures, from which we obtain a duality relation involving the MFG problem examined in [36].

math.AP↗

arXiv2021

Radio astronomy and Space science in Azores: enhancing the Atlantic VLBI infrastructure cluster

Radio astronomy and Space Infrastructures in the Azores have a great scientific and industrial interest because they benefit from a unique geographical location in the middle of the North Atlantic allowing a vast improvement in the sky coverage. This fact obviously has a very high added value for: i) the establishment of space tracking and communications networks for the emergent global small satellite fleets ii) it is invaluable to connect the radio astronomy infrastructure networks in Africa, Europe and America continents using Very Large Baseline Interferometry (VLBI) techniques, iii) it allows excellent potential for monitoring space debris and Near Earth Objects (NEOs). There is in S. Miguel island a 32-metre SATCOM antenna that could be integrated in advanced VLBI networks and be capable of additional Deep Space Network ground support. This paper explores the space science opportunities offered by the upgrade of the S. Miguel 32-metre SATCOM antenna into a world-class infrastructure for radio astronomy and space exploration: it would enable a Deep Space Network mode and would constitute a key space facility for data production, promoting local digital infrastructure investments and the testing of cutting-edge information technologies. Its Atlantic location also enables improvements in angular resolution, provides many baseline in East-West and North-South directions connecting the emergent VLBI stations in America to Europe and Africa VLBI arrays therefore contributing for greater array imaging capabilities especially for sources or well studied fields close to or below the celestial equator, where ESO facilities, ALMA, SKA and its precursors do or will operate and observe in the coming decades.

astro-ph.IM↗

arXiv2021

A Potential Approach for Planning Mean-Field Games in One Dimension

This manuscript discusses planning problems for first- and second-order one-dimensional mean-field games (MFGs). These games are comprised of a Hamilton-Jacobi equation coupled with a Fokker-Planck equation. Applying Poincaré's Lemma to the Fokker-Planck equation, we deduce the existence of a potential. Rewriting the Hamilton-Jacobi equation in terms of the potential, we obtain a system of Euler-Lagrange equations for certain variational problems. Instead of the mean-field planning problem (MFP), we study this variational problem. By the direct method in the calculus of variations, we prove the existence and uniqueness of solutions to the variational problem. The variational approach has the advantage of eliminating the continuity equation. We also consider a first-order MFP with congestion. We prove that the congestion problem has a weak solution by introducing a potential and relying on the theory of variational inequalities. We end the paper by presenting an application to the one-dimensional Hughes' model.

math.AP↗

arXiv2020

Uniform estimates for the planning problem with potential

In this paper, we study a priori estimates for a first-order mean-field planning problem with a potential. In the theory of mean-field games (MFGs), a priori estimates play a crucial role to prove the existence of classical solutions. In particular, uniform bounds for the density of players' distribution and its inverse are of utmost importance. Here, we investigate a priori bounds for those quantities for a planning problem with a non-vanishing potential. The presence of a potential raises non-trivial difficulties, which we overcome by exploring a displacement-convexity property for the mean-field planning problem with a potential together with Moser's iteration method. We show that if the potential satisfies a certain smallness condition, then a displacement-convexity property holds. This property enables $L^q$ bounds for the density. In the one-dimensional case, the displacement-convexity property also gives $L^q$ bounds for the inverse of the density. Finally, using these $L^q$ estimates and Moser's iteration method, we obtain $L^\infty$ estimates for the density of the distribution of the players and its inverse.

math.AP↗

arXiv2020

A mean-field game price model with noise

In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize their average cost by choosing their trading rates with a price that is characterized by a balance between supply and demand. The supply and the price processes are assumed to follow stochastic differential equations. Here, we show that, for linear dynamics and quadratic costs, the optimal trading rates are determined in feedback form. Hence, the price arises as the solution to a stochastic differential equation, whose coefficients depend on the solution of a system of ordinary differential equations.

math.AP↗

arXiv2020

Existence of weak solutions to time-dependent mean-field games

Here, we establish the existence of weak solutions to a wide class of time-dependent monotone mean-field games (MFGs). These MFGs are given as a system of degenerate parabolic equations with initial and terminal conditions. To construct these solutions, we consider a high-order elliptic regularization in space-time. Then, using Schaefer's fixed-point theorem, we obtain the existence and uniqueness for this regularized problem. Using Minty's method, we prove the existence of a weak solution to the original MFG. Finally, the paper ends with a discussion on congestion problems and density constrained MFGs.

math.AP↗

arXiv2019

Processamento de linguagem natural em Português e aprendizagem profunda para o domínio de Óleo e Gás

Over the last few decades, institutions around the world have been challenged to deal with the sheer volume of information captured in unstructured formats, especially in textual documents. The so called Digital Transformation age, characterized by important technological advances and the advent of disruptive methods in Artificial Intelligence, offers opportunities to make better use of this information. Recent techniques in Natural Language Processing (NLP) with Deep Learning approaches allow to efficiently process a large volume of data in order to obtain relevant information, to identify patterns, classify text, among other applications. In this context, the highly technical vocabulary of Oil and Gas (O&G) domain represents a challenge for these NLP algorithms, in which terms can assume a very different meaning in relation to common sense understanding. The search for suitable mathematical representations and specific models requires a large amount of representative corpora in the O&G domain. However, public access to this material is scarce in the scientific literature, especially considering the Portuguese language. This paper presents a literature review about the main techniques for deep learning NLP and their major applications for O&G domain in Portuguese.

cs.CL↗

arXiv2019

Two-scale homogenization of a stationary mean-field game

In this paper, we characterize the asymptotic behavior of a first-order stationary mean-field game (MFG) with a logarithm coupling, a quadratic Hamiltonian, and a periodically oscillating potential. This study falls into the realm of the homogenization theory, and our main tool is the two-scale convergence. Using this convergence, we rigorously derive the two-scale homogenized and the homogenized MFG problems, which encode the so-called macroscopic or effective behavior of the original oscillating MFG. Moreover, we prove existence and uniqueness of the solution to these limit problems.

math.AP↗

arXiv2018

A mean-field game approach to price formation in electricity markets

Here, we introduce a price-formation model where a large number of small players can store and trade electricity. Our model is a constrained mean-field game (MFG) where the price is a Lagrange multiplier for the supply vs. demand balance condition. We establish the existence of a unique solution using a fixed-point argument. In particular, we show that the price is well-defined and it is a Lipschitz function of time. Then, we study linear-quadratic models that can be solved explicitly and compare our model with real data.

math.AP↗

arXiv2018

Displacement convexity for first-order mean-field games

Here, we consider the planning problem for first-order mean-field games (MFG). When there is no coupling between players, MFG degenerate into optimal transport problems. Displacement convexity is a fundamental tool in optimal transport that often reveals hidden convexity of functionals and, thus, has numerous applications in the calculus of variations. We explore the similarities between the Benamou-Brenier formulation of optimal transport and MFG to extend displacement convexity methods from to MFG. In particular, we identify a class of functions, that depend on solutions of MFG, that are convex in time and, thus, obtain new a priori bounds for solutions of MFG. A remarkable consequence is the log-convexity of $L^q$ norms. This convexity gives bounds for the density of solutions of the planning problem and extends displacement convexity of $L^q$ norms from optimal transport. Additionally, we prove the convexity of $L^q$ norms for MFG with congestion.

math.AP↗

arXiv2018

Existence of weak solutions to first-order stationary mean-field games with Dirichlet conditions

In this paper, we study first-order stationary monotone mean-field games (MFGs) with Dirichlet boundary conditions. While for Hamilton--Jacobi equations Dirichlet conditions may not be satisfied, here, we establish the existence of solutions of MFGs that satisfy those conditions. To construct these solutions, we introduce a monotone regularized problem. Applying Schaefer's fixed-point theorem and using the monotonicity of the MFG, we verify that there exists a unique weak solution to the regularized problem. Finally, we take the limit of the solutions of the regularized problem and using Minty's method, we show the existence of weak solutions to the original MFG.

math.AP↗

arXiv2017

Monotone numerical methods for finite-state mean-field games

Here, we develop numerical methods for finite-state mean-field games (MFGs) that satisfy a monotonicity condition. MFGs are determined by a system of differential equations with initial and terminal boundary conditions. These non-standard conditions are the main difficulty in the numerical approximation of solutions. Using the monotonicity condition, we build a flow that is a contraction and whose fixed points solve the MFG, both for stationary and time-dependent problems. We illustrate our methods in a MFG modeling the paradigm-shift problem.

math.NA↗

arXiv2017

Conservation laws arising in the study of forward-forward Mean-Field Games

We consider forward-forward Mean Field Game (MFG) models that arise in numerical approximations of stationary MFGs. First, we establish a link between these models and a class of hyperbolic conservation laws as well as certain nonlinear wave equations. Second, we investigate existence and long-time behavior of solutions for such models.

math.AP↗

arXiv2017

One-dimensional, forward-forward mean-field games with congestion

Here, we consider one-dimensional forward-forward mean-field games (MFGs) with congestion, which were introduced to approximate stationary MFGs. We use methods from the theory of conservation laws to examine the qualitative properties of these games. First, by computing Riemann invariants and corresponding invariant regions, we develop a method to prove lower bounds for the density. Next, by combining the lower bound with an entropy function, we prove the existence of global solutions for parabolic forward-forward MFGs. Finally, we construct traveling-wave solutions, which settles in a negative way the convergence problem for forward-forward MFGs. A similar technique gives the existence of time-periodic solutions for non-monotonic MFGs.

math.AP↗

arXiv2016

One-dimensional forward-forward mean-field games

While the general theory for the terminal-initial value problem for mean-field games (MFGs) has achieved a substantial progress, the corresponding forward-forward problem is still poorly understood - even in the one-dimensional setting. Here, we consider one-dimensional forward-forward MFGs, study the existence of solutions and their long-time convergence. First, we discuss the relation between these models and systems of conservation laws. In particular, we identify new conserved quantities and study some qualitative properties of these systems. Next, we introduce a class of wave-like equations that are equivalent to forward-forward MFGs, and we derive a novel formulation as a system of conservation laws. For first-order logarithmic forward-forward MFG, we establish the existence of a global solution. Then, we consider a class of explicit solutions and show the existence of shocks. Finally, we examine parabolic forward-forward MFGs and establish the long-time convergence of the solutions.

math.AP↗