Related papers: Lipschitz Continuity of the Value Function in Mixe…
We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not. We establish and exploit an…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We initiate the study of nonsmooth optimization problems under bounded local subgradient variation, which postulates bounded difference between (sub)gradients in small local regions around points, in either average or maximum sense. The…
We consider a class of (ill-posed) optimal control problems in which a distributed vector-valued control is enforced to pointwise take values in a finite set $\mathcal{M}\subset\mathbb{R}^m$. After convex relaxation, one obtains a…
This work is concerned with the optimal control problems governed by a 1D wave equation with variable coefficients and the control spaces $\mathcal M_T$ of either measure-valued functions $L_{w^*}^2(I,\mathcal M(\Omega))$ or vector measures…
We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…
We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…
We investigate the value function of an infinite horizon variational problem in the infinite-dimensional setting. Firstly, we provide an upper estimate of its Dini--Hadamard subdifferential in terms of the Clarke subdifferential of the…
We study numerical integration of Lipschitz functionals on a Banach space by means of deterministic and randomized (Monte Carlo) algorithms. This quadrature problem is shown to be closely related to the problem of quantization of the…
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive particles in the system. Accordingly, the value function is…
We consider a second-order elliptic boundary value problem with strongly monotone and Lipschitz-continuous nonlinearity. We design and study its adaptive numerical approximation interconnecting a finite element discretization, the…
This paper aims to study a family of deterministic optimal control problems in infinite dimensional spaces. The peculiar feature of such problems is the presence of a positivity state constraint, which often arises in economic applications.…
We consider an abstract mixed variational problem governed by a nonlinear operator $A$ and a bifunctional $J$, in a real reflexive Banach space $X$. The operator $A$ is assumed to be continuous, Lipschitz continuous on each bounded subset…
Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly…
Building learning models frequently requires evaluating numerous intermediate models. Examples include models considered during feature selection, model structure search, and parameter tunings. The evaluation of an intermediate model…
We consider a Cauchy problem for a (first-order) path-dependent Hamilton--Jacobi equation with coinvariant derivatives and a right-end boundary condition. Such problems arise naturally in the study of properties of the value functional in…
We investigate symmetry reduction of optimal control problems for left-invariant control systems on Lie groups, with partial symmetry breaking cost functions. Our approach emphasizes the role of variational principles and considers a…
In this paper, we obtain several structural results for the value function associated to a mean-field optimal control problem of Bolza type in the space of measures. After establishing the sensitivity relations bridging between the costates…
We present novel results on the solution of a class of leavable, undiscounted optimal control problems in the minimax sense for nonlinear, continuous-state, discrete-time plants. The problem class includes entry-(exit-)time problems as well…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…