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math.OC2025
Overlapping Schwarz Scheme for Linear-Quadratic Programs in Continuous Time
Hongli Zhao, Mihai Anitescu, Sen Na
We present an optimize-then-discretize framework for solving linear-quadratic optimal control problems (OCP) governed by time-inhomogeneous ordinary differential equations (ODEs).…
stat.ML2025
Online Covariance Matrix Estimation in Sketched Newton Methods
Wei Kuang, Mihai Anitescu, Sen Na
Given the ubiquity of streaming data, online algorithms have been widely used for parameter estimation, with second-order methods particularly standing out for their efficiency and…
stat.ML2025
Online Covariance Estimation in Nonsmooth Stochastic Approximation
Liwei Jiang, Abhishek Roy, Krishna Balasubramanian +3
We consider applying stochastic approximation (SA) methods to solve nonsmooth variational inclusion problems. Existing studies have shown that the averaged iterates of SA methods e…