最优化与控制
We consider the well-known max-(relative) entropy problem $\Theta$(y) = infQ$\ll$P DKL(Q P ) with Kullback-Leibler divergence on a domain $\Omega$ $\subset$ R d , and with ''moment'' constraints h dQ = y, y $\in$ R m . We show that when m…
This paper presents a GPU-accelerated framework for solving block tridiagonal linear systems that arise naturally in numerous real-time applications across engineering and scientific computing. Through a multi-stage permutation strategy…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
Decentralized optimization has become a fundamental tool for large-scale learning systems; however, most existing methods rely on the classical Lipschitz smoothness assumption, which is often violated in problems with rapidly varying…
This paper develops a systematic and geometric theory of optimal quantization on the unit sphere $\mathbb S^2$, focusing on finite uniform probability distributions supported on the spherical surface - rather than on lower-dimensional…
Effectively encoding inequality constraints is a primary obstacle in applying quantum algorithms to financial optimization. A quantum model for Markowitz portfolio optimization is presented that resolves this by embedding slack variables…
We study the problem of computing an $\epsilon$-approximate Nash equilibrium of a two-player, bilinear game with a bounded payoff matrix $A \in \mathbb{R}^{m \times n}$, when the players' strategies are constrained to lie in simple sets. We…
We consider Johnson's rule for minimizing the makespan in the two-machine flow shop problem. Although its worst-case time complexity is O(n log n), we show that it is possible to detect in linear time whether a full sorting of jobs can be…
This paper investigates a Halpern acceleration of the inexact proximal point method for solving maximal monotone inclusion problems in Hilbert spaces. The proposed Halpern inexact proximal point method (HiPPM) is shown to be globally…
This paper addresses the problem of tightening the mixed-integer linear programming (MILP) formulation for continuous piecewise linear (CPWL) approximations of data sets in arbitrary dimensions. The MILP formulation leverages the…
In multiobjective optimization, inertial gradient systems accelerate convergence toward weakly Pareto optimal solutions. To achieve even faster convergence, we introduce a multiobjective inertial gradient system with time scaling (MITS),…
We propose the Block Coordinate Descent Network Simplex (BCDNS) method for solving large-scale discrete Optimal Transport (OT) problems. BCDNS integrates the Network Simplex (NS) algorithm with a block coordinate descent (BCD) strategy,…
Set-point tracking for systems with unknown model parameters is a fundamental problem in control, and two-degree-of-freedom (2DOF) Proportional-Integral (PI) controllers -- consisting of a feedforward controller and PI controller -- are…
This paper studies a nonlinear open-loop mean field Stackelberg stochastic differential game by using the probabilistic method through the FBSDE system and the idea of taking control as the fixed point. We successively construct the…
We analyze the robustness of optimally controlled evolution equations with respect to spatially localized perturbations. We prove that if the involved operators are domain-uniformly stabilizable and detectable, then these localized…
We study non-convex delayed-noise online optimization problems by evaluating dynamic regret in the non-stationary setting when the loss functions are quasar-convex. In particular, we consider scenarios involving quasar-convex functions…
In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method, we study the well-posedness of the forward-backward…
We consider the unexploited/exploited logistic equation and study the stability of equilibrium points through Lyapunov functions. Then, we apply first and second order optimality conditions for the optimal control of the total biomass…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
In this work, the author presents a novel method for finding descent directions shared by two or more differentiable functions defined on the same unconstrained domain space. Then, the author illustrates an alternative Multiple-Gradient…