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Iterative gradient-based optimization algorithms are widely used to solve difficult or large-scale optimization problems. There are many algorithms to choose from, such as gradient descent and its accelerated variants such as Polyak's Heavy…
Lyapunov's indirect method is an attractive method for analyzing stability of non-linear systems since only the stability of the corresponding linearized system needs to be determined. Unfortunately, the proof for finite-dimensional systems…
Recently, there has been great interest in connections between continuous-time dynamical systems and optimization methods, notably in the context of accelerated methods for smooth and unconstrained problems. In this paper we extend this…
The approximate solution of large-scale algebraic Riccati equations is considered. We are interested in approximate solutions which yield a Riccati residual matrix of a particular small rank. It is assumed that such approximate solutions…
In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential…
This note presents an extension to the adaptive control strategy presented in [1] able to counter eventual instability due to disturbances at the input of an otherwise $\mathcal{L}_2$ stable closed-loop system. These disturbances are due to…
In this paper, we study the existence of solutions for second-order non-instantaneous impulsive differential equations with a perturbation term. By variational approach, we obtain the problem has at least one solution under assumptions that…
We propose two new alternating direction methods to solve "fully" nonsmooth constrained convex problems. Our algorithms have the best known worst-case iteration-complexity guarantee under mild assumptions for both the objective residual and…
An adaptive proximal method for a special class of variational inequalities and related problems is proposed. For example, the so-called mixed variational inequalities and composite saddle problems are considered. Some estimates of the…
In several recent works \cite{Causley2013a}, \cite{Causley2013}, we developed a new second order, A-stable approach to wave propagation problems based on the method of lines transpose (MOL$^T$) formulation combined with alternating…
In this paper, we investigate the numerical solution of the two-dimensional fractional Laplacian wave equations. After splitting out the Riesz fractional derivatives from the fractional Laplacian, we treat the Riesz fractional derivatives…
This paper presents an adaptive tracking control method for a class of nonlinearly parameterized MIMO dynamic systems with time-varying delay and unknown nonlinear dead-zone inputs. A new high dimensional integral Lyapunov-Krasovskii…
In earlier work we have studied a method for discretization in time of a parabolic problem which consists in representing the exact solution as an integral in the complex plane and then applying a quadrature formula to this integral. In…
Finding the sparset solution of an underdetermined system of linear equations $y=Ax$ has attracted considerable attention in recent years. Among a large number of algorithms, iterative thresholding algorithms are recognized as one of the…
We discuss the existence of solutions with oblique asymptotes to a class of second order nonlinear ordinary differential equations by means of Lyapunov functions. The approach is new in this field and allows for simpler proofs of general…
The alternating direction method of multipliers (ADMM) is one of the most widely used first-order optimisation methods in the literature owing to its simplicity, flexibility and efficiency. Over the years, numerous efforts are made to…
We propose an optimization proxy in terms of iterative implicit gradient methods for solving constrained optimization problems with nonconvex loss functions. This framework can be applied to a broad range of machine learning settings,…
In this paper, we investigate the use of multilinear algebra for reducing the order of multidimensional linear time-invariant (MLTI) systems. Our main tools are tensor rational Krylov subspace methods, which enable us to approximate the…
We consider the solution of large stiff systems of ordinary differential equations with explicit exponential Runge--Kutta integrators. These problems arise from semi-discretized semi-linear parabolic partial differential equations on…
A nonlinear optimization method is proposed for the solution of inverse medium problems with spatially varying properties. To avoid the prohibitively large number of unknown control variables resulting from standard grid-based…