相关论文: On Second Order Conditions in the Multivariate Blo…
Most numerical methods developed for solving nonlinear programming problems are designed to find points that satisfy certain optimality conditions. While the Karush-Kuhn-Tucker conditions are well-known, they become invalid when constraint…
The paper introduces a new regression model designed for situations where both the response and covariates are non-stationary extremes. This method is specifically designed for situations where both the response variable and covariates are…
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator…
We give a set of necessary conditions for locality in bipartite systems, which include and generalize known Bell's inequalities. Each condition corresponds to a specific order of the expansion of random variables defined on graphs, in terms…
In policy learning, the goal is typically to optimize a primary performance metric, but other subsidiary metrics often also warrant attention. This paper presents two strategies for evaluating these subsidiary metrics under a policy that is…
Strict stationarity is a common assumption used in the time series literature in order to derive asymptotic distributional results for second-order statistics, like sample autocovariances and sample autocorrelations. Focusing on weak…
A critical problem in extreme value theory (EVT) is the estimation of parameters for the limit probability distributions. Block maxima (BM), an approach in EVT that seeks estimates of parameters of the generalized extreme value distribution…
This paper focuses on second-order necessary optimality conditions for constrained optimization problems on Banach spaces. For problems in the classical setting, where the objective function is $C^2$-smooth, we show that strengthened…
We consider nonlinear optimization problems with cardinality constraints. Based on a continuous reformulation we introduce second order necessary and sufficient optimality conditions. Under such a second order condition, we can guarantee…
The present paper is a continuation of the author's previous works, in which necessary and sufficient local extrema at a stationary point of a polynomial or a power series (and thus of an analytic function) are given. It is known that for…
Beyond conditional average treatment effects, treatments may impact the entire outcome distribution in covariate-dependent ways, for example, by altering the variance or tail risks for specific subpopulations. We propose a novel estimand to…
The existence of large and extreme claims of a non-life insurance portfolio influences the ability of (re)insurers to estimate the reserve. The excess over-threshold method provides a way to capture and model the typical behaviour of…
In this paper, we introduce the second-order subdifferentials for functions which are G\^ateaux differentiable on an open set and whose G\^ateaux derivative mapping is locally Lipschitz. Based on properties of this kind of second-order…
This paper deals with second-order optimality conditions for a quasilinear elliptic control problem with a nonlinear coefficient in the principal part that is countably $PC^2$ (continuous and $C^2$ apart from countably many points). We…
This paper is the second part of our series of work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, we consider the general cases, i.e., the control region is allowed to be nonconvex,…
The size and complexity of software and hardware systems have significantly increased in the past years. As a result, it is harder to guarantee their correct behavior. One of the most successful methods for automated verification of…
We provide a novel computer-assisted technique for systematically analyzing first-order methods for optimization. In contrast with previous works, the approach is particularly suited for handling sublinear convergence rates and stochastic…
This paper proposes a framework of L-BFGS based on the (approximate) second-order information with stochastic batches, as a novel approach to the finite-sum minimization problems. Different from the classical L-BFGS where stochastic batches…
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 propose a projection based multi-moment matching method for model order reduction of quadratic-bilinear systems. The goal is to construct a reduced system that ensures higher-order moment matching for the multivariate transfer functions…