Related papers: The Monotone Case Approach for the Solution of Cer…
We propose a splitting method for solving an equilibrium problem involving the sum of two bifunctions satisfying standard conditions. We prove that this problem is equivalent to find a zero of two appropriate maximally monotone operators.…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
This paper proposes a nonmonotone proximal quasi-Newton algorithm for unconstrained convex multiobjective composite optimization problems. To design the search direction, we minimize the max-scalarization of the variations of the Hessian…
Decays of unstable heavy particles usually involve the coherent sum of several amplitudes, like in a multiple slit experiment. Dedicated amplitude analysis techniques have been widely used to resolve these amplitudes for better…
In this paper, we provide different splitting methods for solving distributionally robust optimization problems in cases where the uncertainties are described by discrete distributions. The first method involves computing the proximity…
Mode-based model-reduction is used to reduce the degrees of freedom of high dimensional systems, often by describing the system state by a linear combination of spatial modes. Transport dominated phenomena, ubiquitous in technical and…
We propose an Extended Hybrid High-Order scheme for the Poisson problem with solution possessing weak singularities. Some general assumptions are stated on the nature of this singularity and the remaining part of the solution. The method is…
We propose a decomposition method for solving a general class of linear-quadratic (LQ) McKean-Vlasov control problems involving conditional expectations and random coefficients, where the system dynamics are driven by two independent Wiener…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
Markov Decision Process (MDP) is the underlying model for optimal planning for decision-theoretic agents in stochastic environments. Although much research focuses on solving MDP problems both in tabular form or using factored…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from…
In this work, we study fixed point algorithms for finding a zero in the sum of $n\geq 2$ maximally monotone operators by using their resolvents. More precisely, we consider the class of such algorithms where each resolvent is evaluated only…
We leverage path differentiability and a recent result on nonsmooth implicit differentiation calculus to give sufficient conditions ensuring that the solution to a monotone inclusion problem will be path differentiable, with formulas for…
The aim of this paper is to obtain quantitative bounds for solutions to the optimal matching problem in dimension two. These bounds show that up to a logarithmically divergent shift, the optimal transport maps are close to be the identity…
In this paper, we introduce both monotone and nonmonotone variants of LiBCoD, a \textbf{Li}nearized \textbf{B}lock \textbf{Co}ordinate \textbf{D}escent method for solving composite optimization problems. At each iteration, a random block is…
Initially introduced in the framework of quantum control, the so-called "monotonic algorithms" have demonstrated excellent numerical performance when dealing with bilinear optimal control problems. This paper presents a unified formulation…
In this paper we propose a general methodology for solving a broad class of continuous, multifacility location problems, in any dimension and with $\ell_\tau$-norms proposing two different methodologies: 1) by a new second order cone mixed…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
A multi-source quickest detection problem is considered. Assume there are two independent Poisson processes $X^{1}$ and $X^{2}$ with disorder times $\theta_{1}$ and $\theta_{2}$, respectively; that is, the intensities of $X^1$ and $X^2$…