4 papers · 1 filter
Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
Hongjiang Qian, George Yin, Yanzhao Cao +1
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FS…
Optimal Control of Stochastic Partial Differential Equations with Partial Observations: Stochastic Maximum Principles and Numerical Approximation
Yanzhao Cao, Hongjiang Qian, George Yin
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control…
Numerical approximations for partially observed optimal control of stochastic partial differential equations
Feng Bao, Yanzhao Cao, Hongjiang Qian
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in…
Large Deviations Analysis For Regret Minimizing Stochastic Approximation Algorithms
Hongjiang Qian, Vikram Krishnamurthy
Motivated by learning of correlated equilibria in non-cooperative games, we perform a large deviations analysis of a regret minimizing stochastic approximation algorithm. The regre…