Related papers: General Optimal Stopping without Time Consistency
Early stopping is a widely used technique to prevent poor generalization performance when training an over-expressive model by means of gradient-based optimization. To find a good point to halt the optimizer, a common practice is to split…
In this letter a new solvable model of synchronization dynamics is introduced. It consists of a system of long range interacting tops with random precession frequencies. The model allows for an explicit study of orientational effects in…
In this article, the optimal control problem for a harmonic oscillator with an inequality constraint is considered. The applied energy of the oscillator during a fixed final time period is used as the performance criterion. The analytical…
We consider the problem of finding optimally stable polynomial approximations to the exponential for application to one-step integration of initial value ordinary and partial differential equations. The objective is to find the largest…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
We consider the non-linear optimal multiple stopping problem under general conditions on the non-linear evaluation operators, which might depend on two time indices: the time of evaluation/assessment and the horizon (when the reward or loss…
This paper considers the problem of asynchronous stochastic nonconvex optimization with heavy-tailed gradient noise and arbitrarily heterogeneous computation times across workers. We propose an asynchronous normalized stochastic gradient…
This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…
The problem of high-dimensional path-dependent optimal stopping (OS) is important to multiple academic communities and applications. Modern OS tasks often have a large number of decision epochs, and complicated non-Markovian dynamics,…
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions $f$ and transition kernels $Q$ for time-inconsistent stopping problems under nonexponential discounting in discrete time. First,…
The stabilization of nonlinear systems under zero-state-detectability assumption or its analogues is considered. The proposed supervisory control provides a finite time practical stabilization of output and it is based on uniting local and…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We are interested in the optimal filter in a continuous time setting. We want to show that the optimal filter is stable with respect to its initial condition. We reduce the problem to a discrete time setting and apply truncation techniques…
A new method for the optimal solutions is proposed. Originating from the continuous-time dynamics stability theory in the control field, the optimal solution is anticipated to be obtained in an asymptotically evolving way. By introducing a…
An algorithm for a family of self-starting high-order implicit time integration schemes with controllable numerical dissipation is proposed for both linear and nonlinear transient problems. This work builds on the previous works of the…
This paper synthesizes anytime algorithms, in the form of continuous-time dynamical systems, to solve monotone variational inequalities. We introduce three algorithms that solve this problem: the projected monotone flow, the safe monotone…
Inverse optimal control (IOC) aims to estimate the underlying cost that governs the observed behavior of an expert system. However, in practical scenarios, the collected data is often corrupted by noise, which poses significant challenges…