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math.OC2020
A dynamic analytic method for risk-aware controlled martingale problems
Jukka Isohätälä, William B. Haskell
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled pro…
math.OC2020
A Randomized Nonlinear Rescaling Method in Large-Scale Constrained Convex Optimization
Bo Wei, William B. Haskell, Sixiang Zhao
We propose a new randomized algorithm for solving convex optimization problems that have a large number of constraints (with high probability). Existing methods like interior-point…