135 citations · 159 across the 15 of their papers we have counts for
15 papers
Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss
Yutian Wang, Yuan-Hua Ni, Xun Li
This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteratio…
Decentralized Stochastic Linear-Quadratic Optimal Control with Risk Constraint and Partial Observation
Jia Hui, Yuan-Hua Ni
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constr…
Accelerated Optimization Landscape of Linear-Quadratic Regulator
Lechen Feng, Yuan-Hua Ni
Linear-quadratic regulator (LQR) is a landmark problem in the field of optimal control, which is the concern of this paper. Generally, LQR is classified into state-feedback LQR (SL…
Deterministic Dynamic Stackelberg Games: Time-Consistent Open-Loop Solution
Yuan-Hua Ni, Liping Liu, Xinzhen Zhang
In this paper, the known deterministic linear-quadratic Stackelberg game is revisited, whose open-loop Stackelberg solution actually possesses the nature of time inconsistency. To…
Deep BSDE-ML Learning and Its Application to Model-Free Optimal Control
Yutian Wang, Yuan-Hua Ni
A modified Deep BSDE (backward differential equation) learning method with measurability loss, called Deep BSDE-ML method, is introduced in this paper to solve a kind of linear dec…
A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems
Yuan-Hua Ni, Binbin Si, Xinzhen Zhang
In this paper, a Nash-type fictitious game framework is introduced to handle a time-inconsistent linear-quadratic optimal control. The Nash-type game in this framework is called fi…
Mean Field Games for Multi-agent Systems with Multiplicative Noises
Bing-Chang Wang, Yuan-Hua Ni, Huanshui Zhang
This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentr…
Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize th…
Mixed Equilibrium Solution of Time-Inconsistent Stochastic LQ Problem
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilib…
On Time-Consistent Solution to Time-Inconsistent Linear-Quadratic Optimal Control of Discrete-Time Stochastic Systems
Xun Li, Yuan-Hua Ni, Ji-Feng Zhang
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-lo…
Delayed Optimal Control of Stochastic LQ Problem
Yuan-Hua Ni, Cedric Ka-Fai Yiu, Huanshui Zhang +1
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the co…
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
Yuan-Hua Ni, Ji-Feng Zhang, Miroslav Krstic
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic…
Consensus Seeking in Multi-Agent Systems with Multiplicative Measurement Noises
Yuan-Hua Ni, Xun Li
In this paper, the consensus problems of the continuous-time integrator systems under noisy measurements are considered. The measurement noises, which appear when agents measure th…
Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters
Wan-Kai Pang, Yuan-Hua Ni, Xun Li +1
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimi…
Discrete Time Mean-Field Stochastic Linear-Quadratic Optimal Control Problems
Robert. J Elliott, Xun Li, Yuan-Hua Ni
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by intro…