arXiv subjects

Xiaoli Wei

Publications and source records attributed to Xiaoli Wei.

24 records · Page 2Linked to original sources

arXiv2021

Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and correlation matrix of the assets, and for studying the join effects on portfolio diversification. The dynamic setting allows us to consider time varying ambiguity sets, which include the cases where the drift and correlation are estimated on a rolling window of historical data or when the investor takes into account learning on the ambiguity. In this context, we prove a general separation principle for the associated robust control problem, which allows us to reduce the determination of the optimal dynamic strategy to the parametric computation of the minimal risk premium function. Our results provide a justification for under-diversification, as documented in empirical studies and in the static models [16], [34]. Furthermore, we explicitly quantify the degree of under-diversification in termsof correlation bounds and Sharpe ratios proximities, and emphasize the different features induced by drift and correlation ambiguity. In particular, we show that an investor with a poor confidence in the expected return estimation does not hold any risky asset, and on the other hand, trades only one risky asset when the level of ambiguity on correlation matrix is large. We also provide a complete picture of the diversification for the optimal robust portfolio in the three-asset case JEL Classification: G11, C61 MSC Classification: 91G10, 91G80, 60H30

q-fin.PM↗

arXiv2021

Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis

Multi-agent reinforcement learning (MARL), despite its popularity and empirical success, suffers from the curse of dimensionality. This paper builds the mathematical framework to approximate cooperative MARL by a mean-field control (MFC) approach, and shows that the approximation error is of $\mathcal{O}(\frac{1}{\sqrt{N}})$. By establishing an appropriate form of the dynamic programming principle for both the value function and the Q function, it proposes a model-free kernel-based Q-learning algorithm (MFC-K-Q), which is shown to have a linear convergence rate for the MFC problem, the first of its kind in the MARL literature. It further establishes that the convergence rate and the sample complexity of MFC-K-Q are independent of the number of agents $N$, which provides an $\mathcal{O}(\frac{1}{\sqrt{N}})$ approximation to the MARL problem with $N$ agents in the learning environment. Empirical studies for the network traffic congestion problem demonstrate that MFC-K-Q outperforms existing MARL algorithms when $N$ is large, for instance when $N>50$.

cs.LG↗

arXiv2020

MFFW: A new dataset for multi-focus image fusion

Multi-focus image fusion (MFF) is a fundamental task in the field of computational photography. Current methods have achieved significant performance improvement. It is found that current methods are evaluated on simulated image sets or Lytro dataset. Recently, a growing number of researchers pay attention to defocus spread effect, a phenomenon of real-world multi-focus images. Nonetheless, defocus spread effect is not obvious in simulated or Lytro datasets, where popular methods perform very similar. To compare their performance on images with defocus spread effect, this paper constructs a new dataset called MFF in the wild (MFFW). It contains 19 pairs of multi-focus images collected on the Internet. We register all pairs of source images, and provide focus maps and reference images for part of pairs. Compared with Lytro dataset, images in MFFW significantly suffer from defocus spread effect. In addition, the scenes of MFFW are more complex. The experiments demonstrate that most state-of-the-art methods on MFFW dataset cannot robustly generate satisfactory fusion images. MFFW can be a new baseline dataset to test whether an MMF algorithm is able to deal with defocus spread effect.

cs.CV↗

arXiv2017

Bellman equation and viscosity solutions for mean-field stochastic control problem

We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into a deterministic control problem with only the marginal distribution of the process as controlled state variable, and prove that dynamic programming principle holds in its general form. Then, by relying on the notion of differentiability with respect to pro\-bability measures recently introduced by P.L. Lions in [32], and a special It{ô} formula for flows of probability measures, we derive the (dynamic programming) Bellman equation for mean-field stochastic control problem, and prove a veri\-fication theorem in our McKean-Vlasov framework. We give explicit solutions to the Bellman equation for the linear quadratic mean-field control problem, with applications to the mean-variance portfolio selection and a systemic risk model. We also consider a notion of lifted visc-sity solutions for the Bellman equation, and show the viscosity property and uniqueness of the value function to the McKean-Vlasov control problem. Finally, we consider the case of McKean-Vlasov control problem with open-loop controls and discuss the associated dynamic programming equation that we compare with the case of closed-loop controls.

math.PR↗

arXiv2017

Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics

We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field interaction under common noise. Our first main result is to state a dynamic programming principle for the value function in the Wasserstein space of probability measures, which is proved from a flow property of the conditional law of the controlled state process. Next, by relying on the notion of differentiability with respect to probability measures due to P.L. Lions [32], and It{ô}'s formula along a flow of conditional measures, we derive the dynamic programming Hamilton-Jacobi-Bellman equation, and prove the viscosity property together with a uniqueness result for the value function. Finally, we solve explicitly the linear-quadratic stochastic McKean-Vlasov control problem and give an application to an interbank systemic risk model with common noise.

math.PR↗

arXiv2015

Discrete time McKean-Vlasov control problem: a dynamic programming approach

We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that dynamic programming principle holds in its general form. We apply our method for solving explicitly the mean-variance portfolio selection and the multivariate linear-quadratic McKean-Vlasov control problem.

math.PR↗