864 citations · 2.3k across the 87 of their papers we have counts for
5 papers · 1 filter
Lagrangian-based methods in convex optimization: prediction-correction frameworks with non-ergodic convergence rates
Tao Zhang, Yong Xia, Shiru Li
Lagrangian-based methods are classical methods for solving convex optimization problems with equality constraints. We present novel prediction-correction frameworks for such method…
A family of Barzilai-Borwein steplengths from the viewpoint of scaled total least squares
Shiru Li, Tao Zhang, Yong Xia
The Barzilai-Borwein (BB) steplengths play great roles in practical gradient methods for solving unconstrained optimization problems. Motivated by the observation that the two well…
The Inverse Problem of Linear-Quadratic Differential Games: When is a Control Strategies Profile Nash?
Yunhan Huang, Tao Zhang, Quanyan Zhu
This paper aims to formulate and study the inverse problem of non-cooperative linear quadratic games: Given a profile of control strategies, find cost parameters for which this pro…
Lagrangian-based methods in convex optimization: prediction-correction frameworks with ergodic convergence rates
T. Zhang, Y. Xia, S. R. Li
We study the convergence rates of the classical Lagrangian-based methods and their variants for solving convex optimization problems with equality constraints. We present a general…
A state-constrained differential game arising in optimal portfolio liquidation
Alexander Schied, Tao Zhang
We consider risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a…