相关论文: Transversality Conditions for Stochastic Higher-Or…

Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic…

First-order methods are often analyzed via their continuous-time models, where their worst-case convergence properties are usually approached via Lyapunov functions. In this work, we provide a systematic and principled approach to find and…

In this paper, we extend a previously presented Grover-based heuristic to tackle general combinatorial optimization problems with linear constraints. We further describe the introduced method as a framework that enables performance…

The question if a given partial solution to a problem can be extended reasonably occurs in many algorithmic approaches for optimization problems. For instance, when enumerating minimal dominating sets of a graph $G=(V,E)$, one usually…

We study two generalizations of fractional variational problems by considering higher-order derivatives and a state time delay. We prove a higher-order integration by parts formula involving a Caputo fractional derivative of variable order…

We study, from an optimal control perspective, Noether currents for higher-order problems of Herglotz type with time delay. Main result provides new Noether currents for such generalized variational problems, which are particularly useful…

Evolutionary strategies have recently been shown to achieve competing levels of performance for complex optimization problems in reinforcement learning. In such problems, one often needs to optimize an objective function subject to a set of…

In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…

In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…

An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…

We prove a necessary optimality condition for isoperimetric problems under nabla-differentiable curves. As a consequence, the recent results of [M.R. Caputo, A unified view of ostensibly disparate isoperimetric variational problems, Appl.…

Search heuristics, particularly those that are evaluation-driven (e.g., evolutionary computation), are often performed in simulation, enabling exploration of large solution spaces. Yet simulation may not truly replicate real-world…

We consider a class of convex optimization problems over the simplex of probability measures. Our framework comprises optimal experimental design (OED) problems, in which the measure over the design space indicates which experiments are…

In the time- and frequency-limited model order reduction, a reduced-order approximation of the original high-order model is sought to ensure superior accuracy in some desired time and frequency intervals. We first consider the time-limited…

Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for higher-order inverse stochastic dominance are developed. These…

This paper presents a convex sufficient condition for solving a system of nonlinear equations under parametric changes and proposes a sequential convex optimization method for solving robust optimization problems with nonlinear equality…

Algorithms for bilevel optimization often encounter Hessian computations, which are prohibitive in high dimensions. While recent works offer first-order methods for unconstrained bilevel problems, the constrained setting remains relatively…

We consider the question whether starting from a smooth initial condition 3D inviscid Euler flows on a periodic domain $\mathbb{T}^3$ may develop singularities in a finite time. Our point of departure is the well-known result by Kato…

Time-varying stochastic optimization problems frequently arise in machine learning practice (e.g. gradual domain shift, object tracking, strategic classification). Although most problems are solved in discrete time, the underlying process…