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math.OC2021
Adaptive Gradient Descent for Optimal Control of Parabolic Equations with Random Parameters
Yanzhao Cao, Somak Das, Hans-Werner van Wyk
In this paper we extend the adaptive gradient descent (AdaGrad) algorithm to the optimal distributed control of parabolic partial differential equations with uncertain parameters.…
math.NA2021★ 1 cited
Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
Feng Bao, Yanzhao Cao, He Zhang
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backwa…