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This paper considers the problem of unconstrained minimization of smooth convex functions having Lipschitz continuous gradients with known Lipschitz constant. We recently proposed an optimized gradient method (OGM) for this problem and…
We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples generated by time-varying MDPs controlled by the underlying…
Machine learning systems operate under the assumption that training and test data are sampled from a fixed probability distribution. However, this assumptions is rarely verified in practice, as the conditions upon which data was acquired…
The need for fast and robust optimization algorithms are of critical importance in all areas of machine learning. This paper treats the task of designing optimization algorithms as an optimal control problem. Using regret as a metric for an…
The constrained gradient method (CGM) has recently been proposed to solve convex optimization and monotone variational inequality (VI) problems with general functional constraints. While existing literature has established convergence…
Stochastic optimal control and games have a wide range of applications, from finance and economics to social sciences, robotics, and energy management. Many real-world applications involve complex models that have driven the development of…
This paper presents a methodology and numerical algorithms for constructing accelerated gradient flows on the space of probability distributions. In particular, we extend the recent variational formulation of accelerated gradient methods in…
General distribution steering is intrinsically an infinite-dimensional problem, when the continuous distributions to steer are arbitrary. We put forward a moment representation of the primal system for control in [42]. However, the system…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
The graduated optimization approach, also known as the continuation method, is a popular heuristic to solving non-convex problems that has received renewed interest over the last decade. Despite its popularity, very little is known in terms…
Scientific machine learning and the advent of the Physics-Informed Neural Network (PINN) have shown high potential in their ability to solve complex differential equations. One example is the use of PINNs to solve the gravity field modeling…
We analyze a high order unfitted hybridizable discontinuous Galerkin (HDG) method for an optimal control problem governed by a convection-diffusion equation posed in a domain with piecewise-wise $\mathcal{C}^2$ boundary $\partial \Omega$.…
Stochastic Gradient Descent (SGD) methods see many uses in optimization problems. Modifications to the algorithm, such as momentum-based SGD methods have been known to produce better results in certain cases. Much of this, however, is due…
The enduring challenge in the field of artificial intelligence has been the control of systems to achieve desired behaviours. While for systems governed by straightforward dynamics equations, methods like Linear Quadratic Regulation (LQR)…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
We study computational and statistical consequences of problem geometry in stochastic and online optimization. By focusing on constraint set and gradient geometry, we characterize the problem families for which stochastic- and…
Sequential Convex Programming (SCP) has recently seen a surge of interest as a tool for trajectory optimization. However, most available methods lack rigorous performance guarantees and they are often tailored to specific optimal control…
By building upon the recent theory that established the connection between implicit generative modeling (IGM) and optimal transport, in this study, we propose a novel parameter-free algorithm for learning the underlying distributions of…