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Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
作者:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载:150/0  |  提交时间:2020/05/24
Forward backward stochastic differential equations  stochastic optimal control  stochastic maximum principle  projected quasi-Newton methods  
ON ENERGY STABLE, MAXIMUM-PRINCIPLE PRESERVING, SECOND-ORDER BDF SCHEME WITH VARIABLE STEPS FOR THE ALLEN-CAHN EQUATION 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 卷号: 58, 期号: 4, 页码: 2294-2314
作者:  Liao, Hong-lin;  Tang, Tao;  Zhou, Tao
收藏  |  浏览/下载:120/0  |  提交时间:2021/01/14
Allen-Cahn equation  nonuniform BDF2 scheme  energy stability  discrete maximum principle  convergence analysis  
A GAUSS-SEIDEL TYPE METHOD FOR DYNAMIC NONLINEAR COMPLEMENTARITY PROBLEMS 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2020, 卷号: 58, 期号: 6, 页码: 3389-3412
作者:  Wu, Shu-Lin;  Zhou, Tao;  Chen, Xiaojun
收藏  |  浏览/下载:129/0  |  提交时间:2021/04/26
dynamic nonlinear complementarity problems  iterative methods  convergence analysis  nonsmooth circuit systems  projected dynamic systems