相关论文: Optimal stopping without Snell envelopes
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
We establish a geometric condition guaranteeing exact copositive relaxation for the nonconvex quadratic optimization problem under two quadratic and several linear constraints, and present sufficient conditions for global optimality in…
We formalise decompression planning as an optimal control problem with gas feasibility windows (ppO$_2$, END), affine ceilings, and convex penalties in normalised oversaturation. The depth trajectory is constrained to be a monotone ascent,…
For a primal-dual pair of conic linear problems that are described by convex cones $S\subset X$, $T\subset Y$, bilinear symmetric objective functions $\langle\cdot,\cdot\rangle_X$, $\langle\cdot,\cdot\rangle_Y$ and a linear operator…
For two nonempty, closed, bounded and convex subsets $A$ and $B$ of a uniformly convex Banach space $X$ consider a mapping $T:(A \times B) \cup (B \times A) \rightarrow A \cup B$ satisfying $T(A,B) \subset B$ and $T(B, A) \subset A$. In…
Weak optimal transport generalizes the classical theory of optimal transportation to nonlinear cost functions and covers a range of problems that lie beyond the traditional theory - including entropic transport, martingale transport, and…
In this paper, we first provide a simple variational proof of the existence of Nash equilibrium in Hilbert spaces by using optimality conditions in convex minimization and Schauder's fixed-point theorem. Then applications of convex analysis…
We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework.…
We study pure exploration problems in which the set of correct answers is possibly infinite. For example, such problems arise when regressing a continuous function on the means of the bandit or when learning Nash equilibria by querying…
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…
In this paper we consider time-optimal control problems for systems with backlash. Such systems are described by second order differential equations coupled with restrictions modeling the inelastic shocks. A main feature of such systems is…
We address an optimal stopping problem over the set of Bermudan-type strategies $\Theta$ (which we understand in a more general sense than the stopping strategies for Bermudan options in finance) and with non-linear operators (non-linear…
In this paper we propose an extension of the iteratively regularized Gauss--Newton method to the Banach space setting by defining the iterates via convex optimization problems. We consider some a posteriori stopping rules to terminate the…
We provide a control-theoretic perspective on optimal tensor algorithms for minimizing a convex function in a finite-dimensional Euclidean space. Given a function $\Phi: \mathbb{R}^d \rightarrow \mathbb{R}$ that is convex and twice…
This article describes a set of methods for quickly computing the solution to the regularized optimal transport problem. It generalizes and improves upon the widely-used iterative Bregman projections algorithm (or Sinkhorn--Knopp…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
We introduce a model of infinite horizon linear dynamic optimization and obtain results concerning existence of solution and satisfaction of the competitive condition and transversality condition being unconditionally sufficient for…
In this paper, we begin by constructing global linear maps on (n-2)-dimensional subspaces, derived from the local continuity of linear transformations among central sections of a convex body. Using these linear maps, we subsequently…
In convex geometry, the Shapley-Folkman Lemma asserts that the nonconvexity of a Minkowski sum of $n$ dimensional bounded nonconvex sets does not accumulate once the number of summands exceeds the dimension $n$, and thus the sum becomes…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…