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math.PR2022★ 1 cited
Large deviations principle for stationary solutions of stochastic differential equations with multiplicative noise
Peipei Gao, Yong Liu, Yue Sun +1
We study the large deviations principle (LDP) for stationary solutions of a class of stochastic differential equations (SDE) in infinite time intervals by the weak convergence appr…
math.OC2022
Escaping High-order Saddles in Policy Optimization for Linear Quadratic Gaussian (LQG) Control
Yang Zheng, Yue Sun, Maryam Fazel +1
First order policy optimization has been widely used in reinforcement learning. It guarantees to find the optimal policy for the state-feedback linear quadratic regulator (LQR). Ho…