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math.OC2021
Value-Gradient based Formulation of Optimal Control Problem and Machine Learning Algorithm
Alain Bensoussan, Jiayue Han, Sheung Chi Phillip Yam +1
Optimal control problem is typically solved by first finding the value function through Hamilton-Jacobi equation (HJE) and then taking the minimizer of the Hamiltonian to obtain th…
math.OC2020★ 2 cited
Stochastic Modified Equations for Continuous Limit of Stochastic ADMM
Xiang Zhou, Huizhuo Yuan, Chris Junchi Li +1
Stochastic version of alternating direction method of multiplier (ADMM) and its variants (linearized ADMM, gradient-based ADMM) plays a key role for modern large scale machine lear…