6 papers · 1 filter
Strong Convergence of Relaxed Inertial Inexact Progressive Hedging Algorithm for Multi-stage Stochastic Variational Inequality Problems
Jiaxin Chen, Zunjie Huang, Haisen Zhang
A Halpern-type relaxed inertial inexact progressive hedging algorithm (PHA) is proposed for solving multi-stage stochastic variational inequalities in general probability spaces. T…
Lagrangian dual method for solving stochastic linear quadratic optimal control problems with terminal state constraints
Haisen Zhang, Xianfeng Zhang
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is p…
A prediction-correction ADMM for multistage stochastic variational inequalities
Ze You, Haisen Zhang
The multistage stochastic variational inequality is reformulated into a variational inequality with separable structure through introducing a new variable. The prediction-correctio…
Finite Codimensionality Method in Infinite-dimensional Optimization Problems
Xu Liu, Qi Lü, Haisen Zhang +1
This paper is devoted to establishing an enhanced Fritz John type first-order necessary condition for a general constrained nonlinear infinite-dimensional optimization problem. Unl…
Second Order Optimality Conditions for Optimal Control Problems of Stochastic Evolution Equations
Qi Lu, Haisen Zhang, Xu Zhang
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The…
Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
Tianxiao Wang, Haisen Zhang
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) with closed control regions are formulated and studied. Instead of using spi…