5 papers · 1 filter
Explicit Convergence Regions of PID-Damped Accelerated Gradient Methods in Nonconvex Optimization
Ailun Jian, Xun Li, Weigang Sun +1
Momentum-based accelerated gradient methods are widely adopted to expedite convergence in nonconvex optimization, but are prone to overshooting and oscillatory behavior. A class of…
Policy Optimization in the Linear Quadratic Gaussian Problem: A Frequency Domain Perspective
Haoran Li, Xun Li, Yuan-Hua Ni +1
The Linear Quadratic Gaussian (LQG) problem is a classic and widely studied model in optimal control, providing a fundamental framework for designing controllers for linear systems…
Douglas-Rachford Splitting for Group-Sparse Feedback Linear-Quadratic Control
Lechen Feng, Xun Li, Yuan-Hua Ni
In this paper, we study the distributed linear quadratic problem with fixed communication topology (DFT-LQ) and the sparse feedback linear quadratic (SF-LQ) problem through a unifi…
An Optimization-Based Framework for Solving Forward-Backward Stochastic Differential Equations: Convergence Analysis and Error Bounds
Yutian Wang, Yuan-Hua Ni, Xun Li
Forward-backward stochastic differential equations have recently become a key focus in the computational field, and their role in continuous-time stochastic optimal control and rei…
Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss
Yutian Wang, Yuan-Hua Ni, Xun Li
This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteratio…