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Motivated by recent developments in the calibration of stochastic volatility models (SVMs for short), we study continuous-time formulations of martingale optimal transport and martingale Schr\"odinger bridge problems. We establish duality…
The paper focuses on a multidimensional optimization problem, which is formulated in terms of tropical mathematics and consists in minimizing a nonlinear objective function subject to linear inequality constraints. To solve the problem, we…
We revisit the duality theorem for multimarginal optimal transportation problems. In particular, we focus on the Coulomb cost. We use a discrete approximation to prove equality of the extremal values and some careful estimates of the…
In convex optimization, duality theory can sometimes lead to simpler solution methods than those resulting from direct primal analysis. In this paper, this principle is applied to a class of composite variational problems arising in…
We consider inhomogeneous singular parabolic double phase equations of type $$ u_t-\operatorname{div}(|Du|^{p-2}Du + a(x,t)|Du|^{q-2}Du)=-\operatorname{div} (|F|^{p-2}F + a(x,t)|F|^{q-2}F) $$ in $\Omega_T := \Omega \times (0,T)\subset…
We develop a duality theory for unbounded Hermitian operators with dense domain in Hilbert space. As is known, the obstruction for a Hermitian operator to be selfadjoint or to have selfadjoint extensions is measured by a pair of deficiency…
We propose an approach to solving constrained combinatorial optimization problems based on embedding the concept of Lagrangian duality into the framework of adiabatic quantum computation. Within the setting of circuit-model fault-tolerant…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
This paper considers a nonconvex optimization problem that evolves over time, and addresses the synthesis and analysis of regularized primal-dual gradient methods to track a Karush-Kuhn-Tucker (KKT) trajectory. The proposed regularized…
To explore convex optimization on Hadamard spaces, we consider an iteration in the style of a subgradient algorithm. Traditionally, such methods assume that the underlying spaces are manifolds and that the objectives are geodesically…
We propose a new method for solving binary optimization problems under inequality constraints using a quantum annealer. To deal with inequality constraints, we often use slack variables, as in previous approaches. When we use slack…
Typical dualities in arbitrary dimensions are understood through a Hilbert-space extension method. By these results, we rigorously dualize the quantum ingappabilities to discrete height model in one dimension which is inaccessible by…
This paper addresses black-box smooth optimization problems, where the objective and constraint functions are not explicitly known but can be queried. The main goal of this work is to generate a sequence of feasible points converging…
Computational molecular design requires binding arrangements that are not only energetically favorable but also chemically realizable. However, computational methods remain limited in directly recovering fragment pose pairs that can later…
In many applications, including Stackelberg games, machine learning, and power systems \cite{Mackay2018Selftuning,Heinrich1952The,Wang2021Bi-Level}, the decisions in a minimax optimization problem can be constrained by a solution to an…
This paper considers the resource-constrained project scheduling problem with uncertain activity durations. We assume that activity durations lie in a budgeted uncertainty set, and follow a robust two-stage approach, where a decision maker…
We study a rather general class of optimal "ballistic" transport problems for matrix-valued measures. These problems naturally arise, in the spirit of \emph{Y. Brenier. Comm. Math. Phys. (2018) 364(2) 579-605}, from a certain dual…
In this paper we analyze iterations of the obstacle problem for two different operators. We solve iteratively the obstacle problem from above or below for two different differential operators with obstacles given by the previous functions…
In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary and sufficient conditions for both the primal and dual…
We consider the Klein-Gordon operator on an $n$-dimensional asymptotically anti-de Sitter spacetime $(M,g)$ together with arbitrary boundary conditions encoded by a self-adjoint pseudodifferential operator on $\partial M$ of order up to…