output
20102026
most citedAn efficient Averaged Stochastic Gauss-Newton algorithm for estimating parameters of non linear regressions models

8 citations

researchers with a paper here
collaborating institutions
Showing math.OCShow all

5 papers · 1 filter

math.OC2026

Stochastic Control of Addiction with State-Dependent Jump Relapse

Dounia Aissi, Ioana Ciotir, Dan Goreac +1

We study a continuous-time rational addiction model where addiction capital follows a piecewise deterministic Markov process with state-dependent jumps capturing relapse and recove…

math.OC2024

Online estimation of the inverse of the Hessian for stochastic optimization with application to universal stochastic Newton algorithms

Antoine Godichon-Baggioni, Wei Lu, Bruno Portier

This paper addresses second-order stochastic optimization for estimating the minimizer of a convex function written as an expectation. A direct recursive estimation technique for t…

math.OC2023

Linear quadratic optimal control turnpike in finite and infinite dimension: two-term expansion of the value function

Veljko Askovic, Emmanuel Trélat, Hasnaa Zidani

In this paper, we consider a linear quadratic (LQ) optimal control problem in both finite and infinite dimensions. We derive an asymptotic expansion of the value function as the fi…

math.OC2023★ 1 cited

Two-term large-time asymptotic expansion of the value function for dissipative nonlinear optimal control problems

Veljko Askovic, Emmanuel Trélat, Hasnaa Zidani

Considering a general nonlinear dissipative finite dimensional optimal control problem in fixed time horizon T , we establish a two-term asymptotic expansion of the value function…

math.OC2022★ 2 cited

An algorithmic guide for finite-dimensional optimal control problems

Jean-Baptiste Caillau, Roberto Ferretti, Emmanuel Trélat +1

We survey the main numerical techniques for finite-dimensional nonlinear optimal control. The chapter is written as a guide to practitioners who wish to get rapidly acquainted with…