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作者：Bertsekas, Dimitri P.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We consider the minimization of a sum Sigma(m)(i=1) f(i)(x) consisting of a large number of convex component functions f(i). For this problem, incremental methods consisting of gradient or subgradient iterations applied to single components have proved very effective. We propose new incremental methods, consisting of proximal iterations applied to single components, as well as combinations of gradient, subgradient, and proximal iterations. We provide a convergence and rate of convergence analy...
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作者：Koenemann, Jochen; Pritchard, David; Tan, Kunlun
作者单位：University of Waterloo; Microsoft
摘要：The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with It's stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations. The existence and uniqueness results of the general FBSDEs are obtained. In the framework of the general FBSDEs in this paper, the explicit form of the optimal control for linearquadratic stochastic optimal control problem with delay and the Nash e...
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作者：Lobel, Ilan; Ozdaglar, Asuman; Feijer, Diego
作者单位：New York University; Massachusetts Institute of Technology (MIT)
摘要：We study distributed algorithms for solving global optimization problems in which the objective function is the sum of local objective functions of agents and the constraint set is given by the intersection of local constraint sets of agents. We assume that each agent knows only his own local objective function and constraint set, and exchanges information with the other agents over a randomly varying network topology to update his information state. We assume a state-dependent communication m...
