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This paper looks at two problems, minimum constrained input selection and minimum cost constrained input selection for state space structured systems. The input matrix is constrained in the sense that the set of states that each input can…
We shall study backward stochastic differential equations and we will present a new approach for the existence of the solution. This type of equation appears very often in the valuation of financial derivatives in complete markets.…
In this paper, we propose a new methodology for state constrained stochastic optimal control (SOC) problems. The solution is based on past work in solving SOC problems using forward-backward stochastic differential equations (FBSDE). Our…
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…
We establish the dual notions of scaling and saturation from geometric control theory in an infinite-dimensional setting. This generalization is applied to the low-mode control problem in a number of concrete nonlinear partial differential…
Non-convex optimization problems are ubiquitous in machine learning, especially in Deep Learning. While such complex problems can often be successfully optimized in practice by using stochastic gradient descent (SGD), theoretical analysis…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete problems. With…
This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a…
The convergence of stochastic interacting particle systems in the mean-field limit to solutions of conservative stochastic partial differential equations is established, with optimal rate of convergence. As a second main result, a…
We study a stochastic variant of monotone submodular maximization problem as follows. We are given a monotone submodular function as an objective function and a feasible domain defined on a finite set, and our goal is to find a feasible…
Projected subgradient descent (PSD) has gained popularity for solving robust Markov decision processes (RMDPs) because it applies to a broader class of uncertainty sets than traditional dynamic programming. Existing work claims that RMDPs…
We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial…
SketchySGD improves upon existing stochastic gradient methods in machine learning by using randomized low-rank approximations to the subsampled Hessian and by introducing an automated stepsize that works well across a wide range of convex…
Stochastic dominance is a fundamental concept in decision-making under uncertainty and quantitative finance, yet its practical application is hindered by computational intractability due to infinitely many constraints. We introduce the…
We investigate the fundamental optimization question of minimizing a target function $f$, whose gradients are expensive to compute or have limited availability, given access to some auxiliary side function $h$ whose gradients are cheap or…
We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…