Cover Image

Uniform exponential convergence of SAA with AMIS and asymptotics of its optimal value

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Zhang, Wenjin, Li, Yong
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control Probability
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On the optimal objective value of random linear programs
by: Bakhshi, Marzieh, et al.
Published: (2024)

Hilbert's projective metric for functions of bounded growth and exponential convergence of Sinkhorn's algorithm
by: Eckstein, Stephan
Published: (2023)

An Itô-type formula for some measure-valued processes and its application on controlled superprocesses
by: Li, Shang
Published: (2024)

Hopf-Lax approximation for value functions of Lévy optimal control problems
by: Kupper, Michael, et al.
Published: (2025)

On the irreducibility and convergence of a class of nonsmooth nonlinear state-space models on manifolds and their applications to zeroth-order optimization
by: Gissler, Armand, et al.
Published: (2024)

Exponential convergence of general iterative proportional fitting procedures
by: Eckstein, Stephan, et al.
Published: (2025)

Risk-averse mean field games: exploitability and non-asymptotic analysis
by: Cheng, Ziteng, et al.
Published: (2023)

Time discretization of BSDEs with singular terminal condition using asymptotic expansion
by: Kruse, Thomas, et al.
Published: (2026)

Markov decision processes: on the convergence of the Monte-Carlo first visit algorithm
by: Delattre, Sylvain, et al.
Published: (2025)

Stochastic trust-region algorithm in random subspaces with convergence and expected complexity analyses
by: Dzahini, Kwassi Joseph, et al.
Published: (2022)

Continuous-time optimal control for trajectory planning under uncertainty
by: Valli, Ange, et al.
Published: (2024)

Curvature of optimal transport with respect to the cost and applications to inverse optimal transport
by: Peyré, Gabriel, et al.
Published: (2026)

On optimal control of reflected diffusions
by: Jonsson, Adam
Published: (2023)

Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting
by: Neufeld, Ariel, et al.
Published: (2022)

Duality methods in stochastic optimal control
by: Bank, Peter, et al.
Published: (2026)

Concentration for random Euclidean combinatorial optimization
by: D'Achille, Matteo, et al.
Published: (2026)

Remarks on multi-period martingale optimal transport
by: Pass, Brendan, et al.
Published: (2025)

Blackwell optimality in risk-sensitive stochastic control
by: Pitera, Marcin, et al.
Published: (2026)

Mean-field optimal control with stochastic leaders
by: Zimper, Sebastian, et al.
Published: (2025)

Stochastic optimal control of Lévy tax processes with bailouts
by: Ghanim, Dalal Al, et al.
Published: (2024)

An optimal advertising model with carryover effect and mean field terms
by: Gozzi, Fausto, et al.
Published: (2024)

Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale
by: Klimsiak, Tomasz, et al.
Published: (2024)

Non-asymptotic convergence analysis of the stochastic gradient Hamiltonian Monte Carlo algorithm with discontinuous stochastic gradient with applications to training of ReLU neural networks
by: Liang, Luxu, et al.
Published: (2024)

Maximum principle for optimal control of stochastic evolution equations with recursive utilities
by: Liu, Guomin, et al.
Published: (2021)

On optimal periodic dividend and capital injection strategies for general Lévy models
by: Mata, Dante, et al.
Published: (2025)

Mean-field games of optimal stopping: master equation and weak equilibria
by: Possamaï, Dylan, et al.
Published: (2023)

Control of parallel non-observable queues: asymptotic equivalence and optimality of periodic policies
by: Anselmi, Jonatha, et al.
Published: (2014)

Optimization of inventory and capacity in large-scale assembly systems using extreme-value theory
by: Meijer, Mirjam S., et al.
Published: (2021)

On the Feinberg-Piunovskiy Theorem and its extension to chattering policies
by: Dufour, Francois, et al.
Published: (2025)

A dynamic optimal reinsurance strategy with capital injections in the Cramer-Lundberg model
by: Aljaberi, Zakaria, et al.
Published: (2024)

Global-in-time optimal control of stochastic third-grade fluids with additive noise
by: Kinra, Kush, et al.
Published: (2025)

Maximum principle for recursive optimal control problem of stochastic delay evolution equations
by: Liu, Guomin, et al.
Published: (2023)

An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
by: Bourdais, Thibaut, et al.
Published: (2025)

Stochastic Maximum Principle for optimal advertising models with delay and non-convex control space
by: Guatteri, Giuseppina, et al.
Published: (2024)

A stochastic optimization algorithm for revenue maximization in a service system with balking customers
by: Bodas, Shreehari Anand, et al.
Published: (2025)

Existence of optimal controls for stochastic partial differential equations with fully local monotone coefficients
by: Zong, Gaofeng
Published: (2025)

Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
by: de Crescenzo, Anna, et al.
Published: (2025)

Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin
by: Locas, Félix, et al.
Published: (2023)

On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
by: Noba, Kei, et al.
Published: (2022)

Linear convergence of proximal descent schemes on the Wasserstein space
by: Lascu, Razvan-Andrei, et al.
Published: (2024)