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math.OC2023
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…
math.OC2023
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…
math.OC2023
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…