135 citations · 147 across the 10 of their papers we have counts for
14 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…