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In this article we develop a duality principle suitable for a large class of problems in optimization. The main result is obtained through basic tools of convex analysis and duality theory. We establish a correct relation between the…
We propose a primal-dual smoothing framework for finding a near-stationary point of a class of non-smooth non-convex optimization problems with max-structure. We analyze the primal and dual gradient complexities of the framework via two…
An abstract framework guaranteeing the continuous differentiability of local value functions on $H^1(\Omega)$ associated with optimal stabilization problems subject to abstract semilinear parabolic equations in the presence of norm…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
Let $\Omega_1,\Omega_2$ be two disjoint open sets in $\mathbf C^n$ whose boundaries share a smooth real hypersurface $M$ as relatively open subsets. Assume that $\Omega_i$ is equipped with a complex structure $J^i$ which is smooth up to…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…
In this paper we consider a class of optimization problems with a strongly convex objective function and the feasible set given by an intersection of a simple convex set with a set given by a number of linear equality and inequality…
We consider initial-boundary problems for general linear first-order strictly hyperbolic systems with local or nonlocal nonlinear boundary conditions. While boundary data are supposed to be smooth, initial conditions can contain…
Density function describes the density of states in the state space of a dynamic system or a Markov Decision Process (MDP). Its evolution follows the Liouville equation. We show that the density function is the dual of the value function in…
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE) with…
Composite optimization problems, where the sum of a smooth and a merely lower semicontinuous function has to be minimized, are often tackled numerically by means of proximal gradient methods as soon as the lower semicontinuous part of the…
In this article we investigate the possibilities of accelerating the double smoothing technique when solving unconstrained nondifferentiable convex optimization problems. This approach relies on the regularization in two steps of the…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
We consider a class of economic growth models that includes the classical Ramsey--Cass--Koopmans capital accumulation model and verify that, under several assumptions, the value function of the model is the unique viscosity solution to the…
In this paper we study an optimization problem in which the control is information, more precisely, the control is a $\sigma$-algebra or a filtration. In a dynamic setting, we establish the dynamic programming principle and the law…
We present a new algorithm for solving optimization problems with objective functions that are the sum of a smooth function and a (potentially) nonsmooth regularization function, and nonlinear equality constraints. The algorithm may be…
Unconstrained optimization problems become more common in scientific computing and engineering applications with the rapid development of artificial intelligence, and numerical methods for solving them more quickly and efficiently have been…
We introduce a notion of self-concordant smoothing for minimizing the sum of two convex functions, one of which is smooth and the other nonsmooth. The key highlight is a natural property of the resulting problem's structure that yields a…
This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which can be solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control…
The linear transport equation allows to advect level-set functions to represent moving sharp interfaces in multiphase flows as zero level-sets. A recent development in computational fluid dynamics is to modify the linear transport equation…