Stratified adaptive sampling for derivative-free stochastic trust-region optimization
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | Amici, Giovanni, Shashaani, Sara, Jain, Pranav |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Documents similaires
Non-concave stochastic optimal control in finite discrete time under model uncertainty
par: Neufeld, Ariel, et autres
Publié: (2024)
par: Neufeld, Ariel, et autres
Publié: (2024)
Optimal Annuitization with stochastic mortality: Piecewise Deterministic Mortality Force
par: Buttarazzi, Matteo, et autres
Publié: (2025)
par: Buttarazzi, Matteo, et autres
Publié: (2025)
A robust stochastic control problem with applications to monotone mean-variance problems
par: Chen, Yuyang, et autres
Publié: (2024)
par: Chen, Yuyang, et autres
Publié: (2024)
Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus
par: Otsuki, Yuta, et autres
Publié: (2024)
par: Otsuki, Yuta, et autres
Publié: (2024)
Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
par: Marazzina, Daniele
Publié: (2024)
par: Marazzina, Daniele
Publié: (2024)
General duality and dual attainment for adapted transport
par: Kršek, Daniel, et autres
Publié: (2024)
par: Kršek, Daniel, et autres
Publié: (2024)
Sensitivity of robust optimization problems under drift and volatility uncertainty
par: Bartl, Daniel, et autres
Publié: (2023)
par: Bartl, Daniel, et autres
Publié: (2023)
Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
par: Guo, Ivan, et autres
Publié: (2025)
par: Guo, Ivan, et autres
Publié: (2025)
An optimal transport foundation for a class of dynamically consistent risk measures
par: Fuhrmann, Sven, et autres
Publié: (2026)
par: Fuhrmann, Sven, et autres
Publié: (2026)
Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
par: Carassus, Laurence, et autres
Publié: (2023)
par: Carassus, Laurence, et autres
Publié: (2023)
Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
par: Ackermann, Julia, et autres
Publié: (2025)
par: Ackermann, Julia, et autres
Publié: (2025)
Neural networks can detect model-free static arbitrage strategies
par: Neufeld, Ariel, et autres
Publié: (2023)
par: Neufeld, Ariel, et autres
Publié: (2023)
Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
par: Wang, Wenyuan, et autres
Publié: (2024)
par: Wang, Wenyuan, et autres
Publié: (2024)
Competitive optimal portfolio selection under mean-variance criterion
par: Shao, Guojiang, et autres
Publié: (2025)
par: Shao, Guojiang, et autres
Publié: (2025)
Relative portfolio optimization via a value at risk based constraint
par: Bäuerle, Nicole, et autres
Publié: (2025)
par: Bäuerle, Nicole, et autres
Publié: (2025)
Intraday Battery Dispatch for Hybrid Renewable Energy Assets
par: Aung, Thiha, et autres
Publié: (2025)
par: Aung, Thiha, et autres
Publié: (2025)
Stochastic Control Problems with Infinite Horizon and Regime Switching Arising in Optimal Liquidation with Semimartingale Strategies
par: Cheng, Xinman, et autres
Publié: (2026)
par: Cheng, Xinman, et autres
Publié: (2026)
Optimal Routing across Constant Function Market Makers with Gas Fees
par: Escudero, Carlos, et autres
Publié: (2026)
par: Escudero, Carlos, et autres
Publié: (2026)
Modeling Stochastic Multi-Agent Interaction in Intraday Battery Energy Storage Dispatch with Market Power
par: Hu, Ruimeng, et autres
Publié: (2026)
par: Hu, Ruimeng, et autres
Publié: (2026)
Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools
par: Mastrolia, Thibaut, et autres
Publié: (2025)
par: Mastrolia, Thibaut, et autres
Publié: (2025)
Coordinated Mean-Field Control for Systemic Risk
par: Yamanaka, Toshiaki
Publié: (2025)
par: Yamanaka, Toshiaki
Publié: (2025)
Equilibrium investment under dynamic preference uncertainty
par: Aquino, Luca De Gennaro, et autres
Publié: (2025)
par: Aquino, Luca De Gennaro, et autres
Publié: (2025)
Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
par: Dong, Yuchao, et autres
Publié: (2025)
par: Dong, Yuchao, et autres
Publié: (2025)
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
par: Aquino, Luca De Gennaro, et autres
Publié: (2024)
par: Aquino, Luca De Gennaro, et autres
Publié: (2024)
Optimal consumption under a drawdown constraint over a finite horizon
par: Chen, Xiaoshan, et autres
Publié: (2022)
par: Chen, Xiaoshan, et autres
Publié: (2022)
Optimal Trade Characterizations in Multi-Asset Crypto-Financial Markets
par: Escudero, C., et autres
Publié: (2024)
par: Escudero, C., et autres
Publié: (2024)
Stationary Discounted and Ergodic Mean Field Games of Singular Control
par: Cao, Haoyang, et autres
Publié: (2021)
par: Cao, Haoyang, et autres
Publié: (2021)
Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework
par: Dolinsky, Yan
Publié: (2023)
par: Dolinsky, Yan
Publié: (2023)
Stochastic control problems with state-reflections arising from relaxed benchmark tracking
par: Bo, Lijun, et autres
Publié: (2023)
par: Bo, Lijun, et autres
Publié: (2023)
Rough Path Approaches to Stochastic Control, Filtering, and Stopping
par: Mavroforas, Jonathan A., et autres
Publié: (2025)
par: Mavroforas, Jonathan A., et autres
Publié: (2025)
Solutions to Equilibrium HJB Equations for Time-Inconsistent Deterministic Linear Quadratic Control: Characterization and Uniqueness
par: Peng, Yunfei, et autres
Publié: (2023)
par: Peng, Yunfei, et autres
Publié: (2023)
Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise
par: Cui, Xiangyu, et autres
Publié: (2024)
par: Cui, Xiangyu, et autres
Publié: (2024)
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
par: Guan, Guohui, et autres
Publié: (2024)
par: Guan, Guohui, et autres
Publié: (2024)
Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks
par: Ceci, Claudia, et autres
Publié: (2024)
par: Ceci, Claudia, et autres
Publié: (2024)
Deep Galerkin Method for Mean Field Control Problem
par: Sun, Jingruo
Publié: (2022)
par: Sun, Jingruo
Publié: (2022)
A Calculus of Variations Approach to Stochastic Control
par: Lorig, Matthew
Publié: (2025)
par: Lorig, Matthew
Publié: (2025)
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
par: Joseph, Benjamin, et autres
Publié: (2023)
par: Joseph, Benjamin, et autres
Publié: (2023)
Extended mean-field games with multi-dimensional singular controls and non-linear jump impact
par: Denkert, Robert, et autres
Publié: (2024)
par: Denkert, Robert, et autres
Publié: (2024)
Optimal Carbon Emission Control With Allowances Purchasing
par: Chen, Xinfu, et autres
Publié: (2024)
par: Chen, Xinfu, et autres
Publié: (2024)
Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
par: Bo, Lijun, et autres
Publié: (2024)
par: Bo, Lijun, et autres
Publié: (2024)
Documents similaires
-
Non-concave stochastic optimal control in finite discrete time under model uncertainty
par: Neufeld, Ariel, et autres
Publié: (2024) -
Optimal Annuitization with stochastic mortality: Piecewise Deterministic Mortality Force
par: Buttarazzi, Matteo, et autres
Publié: (2025) -
A robust stochastic control problem with applications to monotone mean-variance problems
par: Chen, Yuyang, et autres
Publié: (2024) -
Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus
par: Otsuki, Yuta, et autres
Publié: (2024) -
Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
par: Marazzina, Daniele
Publié: (2024)