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In this article we utilise abstract convexity theory in order to unify and generalize many different concepts from nonsmooth analysis. We introduce the concepts of abstract codifferentiability, abstract quasidifferentiability and abstract…
We study fundamental limits of first-order stochastic optimization in a range of nonconvex settings, including L-smooth functions satisfying Quasar-Convexity (QC), Quadratic Growth (QG), and Restricted Secant Inequalities (RSI). While the…
The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…
This paper mainly discusses the $H_{\infty}$ filtering of general nonlinear discrete time-varying stochastic systems. A nonlinear discrete-time stochastic bounded real lemma (SBRL) is firstly obtained by means of the smoothness of the…
We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed at high frequency over a fixed time horizon. We formulate…
Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate solutions…
We propose a variational method to solve all three estimation problems for nonlinear stochastic dynamical systems: prediction, filtering, and smoothing. Our new approach is based upon a proper choice of cost function, termed the {\it…
Recently, several studies consider the stochastic optimization problem but in a heavy-tailed noise regime, i.e., the difference between the stochastic gradient and the true gradient is assumed to have a finite $p$-th moment (say being upper…
In view of training increasingly complex learning architectures, we establish a nonsmooth implicit function theorem with an operational calculus. Our result applies to most practical problems (i.e., definable problems) provided that a…
This paper is concerned with a shape optimization problem governed by a non-smooth PDE, i.e., the nonlinearity in the state equation is not necessarily differentiable. We follow the functional variational approach of [40] where the set of…
We study a mathematical model of a compressible viscous fluid driven by stochastic forces under slip boundary conditions of friction type. We introduce a notion of a weak solution that is analytically and probabilistically consistent with…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We are concerned with the well-posedness of Neumann boundary value problems for nonlocal Hamilton-Jacobi equations related to jump processes in general smooth domains. We consider a nonlocal diffusive term of censored type of order less…
Several nonlinear stochastic differential equations have been proposed in connection with self-organized critical phenomena. Due to the threshold condition involved in its dynamic evolution an infinite number of nonlinearities arises in a…
Many spatial processes exhibit nonstationary features. We estimate a variance function from a single process observation where the errors are nonstationary and correlated. We propose a difference-based approach for a one-dimensional…
We study existence and uniqueness of a variational solution in terms of stochastic variational inequalities (SVI) to stochastic nonlinear diffusion equations with a highly singular diffusivity term and multiplicative Stratonovich…