4 papers
Forward-Backward Stochastic Linear-Quadratic Optimal Controls: Equilibrium Strategies and Non-Symmetric Riccati Equations
Qi Lü, Bowen Ma, Hanxiao Wang
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent…
On the Performance Analysis of Momentum Method: A Frequency Domain Perspective
Xianliang Li, Jun Luo, Zhiwei Zheng +5
Momentum-based optimizers are widely adopted for training neural networks. However, the optimal selection of momentum coefficients remains elusive. This uncertainty impedes a clear…
Solvability of Equilibrium Riccati Equations: A Direct Approach
Bowen Ma, Hanxiao Wang
The solvability of equilibrium Riccati equations (EREs) plays a central role in the study of time-inconsistent stochastic linear-quadratic optimal control problems, because it pave…
The Lp Polar bodies of shadow system and related inequalities
Lujun Guo, Hanxiao Wang
The versions of the support function and polar body are introduced by Berndtsson, Mastrantonis and Rubinstein in \cite{Berndtsson-Mastrantonis-Rubinstein-2023} recently. In t…