Mathematical Finance Seminar
TUB; MA042
Jinniao Qiu (U. Calgary)

Consensus-based optimization for equilibrium points of games

In this talk, we will introduce Consensus-Based Optimization (CBO) for min-max problems, a novel multi-particle, derivative-free optimization method that can provably identify global equilibrium points. This paradigm facilitates the transition to the mean-field limit, making the method amenable to theoretical analysis and providing rigorous convergence guarantees under reasonable assumptions about the initialization and the objective function, including nonconvex-nonconcave objectives. Additionally, numerical evidence will be presented to demonstrate the algorithm's effectiveness. This talk is based on joint works with Giacomo Borghi, Enis Chenchene, Hui Huang, and Konstantin Riedl.