相关论文: Subgradient evolution of value functions in discre…
In this paper we propose a generalized condition for a sharp minimum, somewhat similar to the inexact oracle proposed recently by Devolder-Glineur-Nesterov. The proposed approach makes it possible to extend the class of applicability of…
In the framework of real Hilbert spaces we study continuous in time dynamics as well as numerical algorithms for the problem of approaching the set of zeros of a single-valued monotone and continuous operator $V$. The starting poin is a…
We find time discretizations for the two ''second flows'' of the Ablowitz-Ladik hierachy. These discretizations are described by local equations of motion, as opposed to the previously known ones, due to Taha and Ablowitz. Certain…
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
The classical and quantum dynamics of simple time-reparametrization- invariant models containing two degrees of freedom are studied in detail. Elimination of one ``clock'' variable through the Hamiltonian constraint leads to a description…
We investigate the geometric structure of adjoint systems associated with evolutionary partial differential equations at the fully continuous, semi-discrete, and fully discrete levels and the relations between these levels. We show that the…
Automatic generation of convex relaxations and subgradients is critical in global optimization, and is typically carried out using variants of automatic/algorithmic differentiation (AD). At previous AD conferences, variants of the forward…
The basic aim is to extend some results and concepts of non-autonomous second order differential systems with convex potentials to the new context of multi-time Poisson-gradient PDE systems with convex potential. In this sense, we prove…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…
We investigate the value function of the Bolza problem of the Calculus of Variations $$ V (t,x)=\inf \{\int_{0}^{t} L (y(s),y'(s))ds + \phi(y(t)) : y \in W^{1,1} (0,t; R^n) ; y(0)=x \}, $$ with a lower semicontinuous Lagrangian $L$ and a…
Value functions arise as a component of algorithms as well as performance metrics in statistics and engineering applications. Computation of the associated Bellman equations is numerically challenging in all but a few special cases. A…
In this paper, we propose a new design method of discrete-valued control for continuous-time linear time-invariant systems based on sum-of-absolute-values (SOAV) optimization. We first formulate the discrete-valued control design as a…
This paper studies simple bilevel problems, where a convex upper-level function is minimized over the optimal solutions of a convex lower-level problem. We first show the fundamental difficulty of simple bilevel problems, that the…
Higher-order tensor methods were recently proposed for minimizing smooth convex and nonconvex functions. Higher-order algorithms accelerate the convergence of the classical first-order methods thanks to the higher-order derivatives used in…
We consider the long time behavior of the semidiscrete scheme for the Perona-Malik equation in dimension one. We prove that approximated solutions converge, in a slow time scale, to solutions of a limit problem. This limit problem evolves…
We consider a class of sparsity-inducing regularization terms based on submodular functions. While previous work has focused on non-decreasing functions, we explore symmetric submodular functions and their \lova extensions. We show that the…
In this paper, we develop a theory of new classes of discrete convex functions, called L-extendable functions and alternating L-convex functions, defined on the product of trees. We establish basic properties for optimization: a…
In this paper we show the convergence of a semidiscrete time stepping \theta-scheme on a time grid of variable length to the solution of parabolic operator differential inclusion in the framework of evolution triple. The multifunction is…