arXiv subjects

Jihao Long

Publications and source records attributed to Jihao Long.

At least 19 recordsLinked to original sources

arXiv2026

Fully nonlinear parabolic equations under a fixed reference diffusion:weighted $L^2$ Hessian estimates and well-posedness

We develop a fixed-reference weighted $L^2$ theory for terminal-value fully nonlinear parabolic equations. A prescribed uniformly elliptic diffusion starting from a point determines both the linear reference operator and a space--time occupation measure; time weights of order $\alpha$ accommodate the point-start singularity. For the associated linear backward equation, we identify the optimal source-to-intrinsic-Hessian norm $C_w(X)$ and derive bounds on it from a moving-measure Bochner identity. We compute the sharp Brownian benchmark $C_\alpha^{\mathrm{Br}}=\sup_{n\in\mathbb{N}, n\geq 2}2\sqrt{n(n-1)}/(n-1+\alpha)$, prove that it is a universal tangent lower bound, and show that it is attained by regular weights for time-inhomogeneous affine Gaussian diffusions and is the infimum over such weights for normalized state-dependent covariances. Under the standing data and lower-order assumptions, the Hessian estimate yields our main nonlinear result: if the driver's Hessian Lipschitz constant satisfies $C_w(X)L_H<1$, then the equation has a unique weighted Sobolev solution and the Picard iteration on the source converges geometrically, with no smallness condition on the value or gradient channels. For the Brownian model at order $1/2$, counterexamples in dimensions $d\geq7$ show that this strict threshold cannot be uniformly improved within the occupation-Sobolev class. For weights of order below one, additional spatial regularity and unweighted integrability of the data yield an unweighted spatial jet and a unique solution in the regular fixed-reference Markovian class for second-order backward stochastic differential equations (2BSDEs) defined here.

math.PR↗

arXiv2026

A Deep Second-Order Stochastic Residual Method for Fully Nonlinear Parabolic PDEs

We introduce the Deep Second-Order Stochastic Residual Method (D2SRM) for high-dimensional, Hessian-dependent fully nonlinear parabolic PDEs. A single scalar space--time network generates derivative-consistent approximations of the solution, gradient, and Hessian, which are trained jointly through second-order Brownian one-step residuals and terminal value and gradient penalties. For globally Lipschitz equations with identity diffusion and sufficiently weak Hessian coupling, we establish well-posedness in a Brownian occupation space and develop a population-level convergence theory. Under additional regularity, an a posteriori estimate bounds the squared full-jet occupation error of any admissible candidate by the time step and its population objective. For approximate population minimizers, the error bound separates time discretization, neural approximation, and population suboptimality; when the latter two terms are $O(h)$, the full-jet occupation norm is $O(h^{1/2})$. Experiments on a 100-dimensional manufactured benchmark compare terminal treatments, probe Hessian couplings inside and outside the proved small-gain range, and show decreasing errors as the time step decreases. The code is available at https://github.com/ZZHPKU/D2SRM.

math.NA↗

arXiv2025

Finite-Agent Stochastic Differential Games on Large Graphs: II. Graph-Based Architectures

We propose a novel neural network architecture, called Non-Trainable Modification (NTM), for computing Nash equilibria in stochastic differential games (SDGs) on graphs. These games model a broad class of graph-structured multi-agent systems arising in finance, robotics, energy, and social dynamics, where agents interact locally under uncertainty. The NTM architecture imposes a graph-guided sparsification on feedforward neural networks, embedding fixed, non-trainable components aligned with the underlying graph topology. This design enhances interpretability and stability, while significantly reducing the number of trainable parameters in large-scale, sparse settings. We theoretically establish a universal approximation property for NTM in static games on graphs and numerically validate its expressivity and robustness through supervised learning tasks. Building on this foundation, we incorporate NTM into two state-of-the-art game solvers, Direct Parameterization and Deep BSDE (backward stochastic differential equation), yielding their sparse variants (NTM-DP and NTM-DBSDE). Numerical experiments on three SDGs across various graph structures demonstrate that NTM-based methods achieve performance comparable to their fully trainable counterparts, while offering improved computational efficiency.

cs.LG↗

arXiv2024

Deep Picard Iteration for High-Dimensional Nonlinear PDEs

We present the Deep Picard Iteration (DPI) method, a new deep learning approach for solving high-dimensional partial differential equations (PDEs). The core innovation of DPI lies in its use of Picard iteration to reformulate the typically complex training objectives of neural network-based PDE solutions into much simpler, standard regression tasks based on function values and gradients. This design not only greatly simplifies the optimization process but also offers the potential for further scalability through parallel data generation. Crucially, to fully realize the benefits of regressing on both function values and gradients in the DPI method, we address the issue of infinite variancein the estimators of gradients by incorporating a control variate, supported by our theoretical analysis. Our experiments on problems up to 100 dimensions demonstrate that DPI consistently outperforms existing state-of-the-art methods, with greater robustness to hyperparameters, particularly in challenging scenarios with long time horizons and strong nonlinearity. The code is available at https://github.com/DeepOptimalControl/DeepPicardIteration.

math.NA↗

arXiv2024

Finite-Agent Stochastic Differential Games on Large Graphs: I. The Linear-Quadratic Case

In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to previous works, our model offers a more realistic depiction of strategic decision-making processes. For general graphs, we establish the convergence of fictitious play, a widely-used iterative solution method for determining the Nash equilibrium of our proposed game model. Notably, under appropriate conditions, this convergence holds true irrespective of the number of players involved. For vertex-transitive graphs, we develop a semi-explicit characterization of the Nash equilibrium. Through rigorous analysis, we demonstrate the well-posedness of this characterization under certain conditions. We present numerical experiments that validate our theoretical results and provide insights into the intricate relationship between various game dynamics and the underlying graph structure.

math.OC↗

arXiv2024

Optimal Rates and Saturation for Noiseless Kernel Ridge Regression

Kernel ridge regression (KRR), also known as the least-squares support vector machine, is a fundamental method for learning functions from finite samples. While most existing analyses focus on the noisy setting with constant-level label noise, we present a comprehensive study of KRR in the noiseless regime -- a critical setting in scientific computing where data are often generated via high-fidelity numerical simulations. We establish that, up to logarithmic factors, noiseless KRR achieves minimax optimal convergence rates, jointly determined by the eigenvalue decay of the associated integral operator and the target function's smoothness. These rates are derived under Sobolev-type interpolation norms, with the $L^2$ norm as a special case. Notably, we uncover two key phenomena: an extra-smoothness effect, where the KRR solution exhibits higher smoothness than typical functions in the native reproducing kernel Hilbert space (RKHS), and a saturation effect, where the KRR's adaptivity to the target function's smoothness plateaus beyond a certain level. Leveraging these insights, we also derive a novel error bound for noisy KRR that is noise-level aware and achieves minimax optimality in both noiseless and noisy regimes. As a key technical contribution, we introduce a refined notion of degrees of freedom, which we believe has broader applicability in the analysis of kernel methods. Extensive numerical experiments validate our theoretical results and provide insights beyond existing theory.

stat.ML↗

arXiv2023

Learning Free Terminal Time Optimal Closed-loop Control of Manipulators

This paper presents a novel approach to learning free terminal time closed-loop control for robotic manipulation tasks, enabling dynamic adjustment of task duration and control inputs to enhance performance. We extend the supervised learning approach, namely solving selected optimal open-loop problems and utilizing them as training data for a policy network, to the free terminal time scenario. Three main challenges are addressed in this extension. First, we introduce a marching scheme that enhances the solution quality and increases the success rate of the open-loop solver by gradually refining time discretization. Second, we extend the QRnet in Nakamura-Zimmerer et al. (2021b) to the free terminal time setting to address discontinuity and improve stability at the terminal state. Third, we present a more automated version of the initial value problem (IVP) enhanced sampling method from previous work (Zhang et al., 2022) to adaptively update the training dataset, significantly improving its quality. By integrating these techniques, we develop a closed-loop policy that operates effectively over a broad domain with varying optimal time durations, achieving near globally optimal total costs.

math.OC↗

arXiv2023

The $L^\infty$ Learnability of Reproducing Kernel Hilbert Spaces

In this work, we analyze the learnability of reproducing kernel Hilbert spaces (RKHS) under the $L^\infty$ norm, which is critical for understanding the performance of kernel methods and random feature models in safety- and security-critical applications. Specifically, we relate the $L^\infty$ learnability of a RKHS to the spectrum decay of the associate kernel and both lower bounds and upper bounds of the sample complexity are established. In particular, for dot-product kernels on the sphere, we identify conditions when the $L^\infty$ learning can be achieved with polynomial samples. Let $d$ denote the input dimension and assume the kernel spectrum roughly decays as $\lambda_k\sim k^{-1-\beta}$ with $\beta>0$. We prove that if $\beta$ is independent of the input dimension $d$, then functions in the RKHS can be learned efficiently under the $L^\infty$ norm, i.e., the sample complexity depends polynomially on $d$. In contrast, if $\beta=1/\mathrm{poly}(d)$, then the $L^\infty$ learning requires exponentially many samples.

stat.ML↗

arXiv2023

A duality framework for analyzing random feature and two-layer neural networks

We consider the problem of learning functions within the $\mathcal{F}_{p,\pi}$ and Barron spaces, which play crucial roles in understanding random feature models (RFMs), two-layer neural networks, as well as kernel methods. Leveraging tools from information-based complexity (IBC), we establish a dual equivalence between approximation and estimation, and then apply it to study the learning of the preceding function spaces. The duality allows us to focus on the more tractable problem between approximation and estimation. To showcase the efficacy of our duality framework, we delve into two important but under-explored problems: 1) Random feature learning beyond kernel regime: We derive sharp bounds for learning $\mathcal{F}_{p,\pi}$ using RFMs. Notably, the learning is efficient without the curse of dimensionality for $p>1$. This underscores the extended applicability of RFMs beyond the traditional kernel regime, since $\mathcal{F}_{p,\pi}$ with $p<2$ is strictly larger than the corresponding reproducing kernel Hilbert space (RKHS) where $p=2$. 2) The $L^\infty$ learning of RKHS: We establish sharp, spectrum-dependent characterizations for the convergence of $L^\infty$ learning error in both noiseless and noisy settings. Surprisingly, we show that popular kernel ridge regression can achieve near-optimal performance in $L^\infty$ learning, despite it primarily minimizing square loss. To establish the aforementioned duality, we introduce a type of IBC, termed $I$-complexity, to measure the size of a function class. Notably, $I$-complexity offers a tight characterization of learning in noiseless settings, yields lower bounds comparable to Le Cam's in noisy settings, and is versatile in deriving upper bounds. We believe that our duality framework holds potential for broad application in learning analysis across more scenarios.

stat.ML↗

arXiv2023

Reinforcement Learning with Function Approximation: From Linear to Nonlinear

Function approximation has been an indispensable component in modern reinforcement learning algorithms designed to tackle problems with large state spaces in high dimensions. This paper reviews recent results on error analysis for these reinforcement learning algorithms in linear or nonlinear approximation settings, emphasizing approximation error and estimation error/sample complexity. We discuss various properties related to approximation error and present concrete conditions on transition probability and reward function under which these properties hold true. Sample complexity analysis in reinforcement learning is more complicated than in supervised learning, primarily due to the distribution mismatch phenomenon. With assumptions on the linear structure of the problem, numerous algorithms in the literature achieve polynomial sample complexity with respect to the number of features, episode length, and accuracy, although the minimax rate has not been achieved yet. These results rely on the $L^\infty$ and UCB estimation of estimation error, which can handle the distribution mismatch phenomenon. The problem and analysis become substantially more challenging in the setting of nonlinear function approximation, as both $L^\infty$ and UCB estimation are inadequate for bounding the error with a favorable rate in high dimensions. We discuss additional assumptions necessary to address the distribution mismatch and derive meaningful results for nonlinear RL problems.

cs.LG↗

arXiv2022

Progressive Optimal Path Sampling for Closed-Loop Optimal Control Design with Deep Neural Networks

Closed-loop optimal control design for high-dimensional nonlinear systems has been a long-standing challenge. Traditional methods, such as solving the associated Hamilton-Jacobi-Bellman equation, suffer from the curse of dimensionality. Recent literature proposed a new promising approach based on supervised learning, by leveraging powerful open-loop optimal control solvers to generate training data and neural networks as efficient high-dimensional function approximators to fit the closed-loop optimal control. This approach successfully handles certain high-dimensional optimal control problems but still performs poorly on more challenging problems. One of the crucial reasons for the failure is the so-called distribution mismatch phenomenon brought by the controlled dynamics. In this paper, we investigate this phenomenon and propose the Progressive Optimal Path Sampling (POPS) method to mitigate this problem. We theoretically prove that this enhanced sampling strategy outperforms both the vanilla approach and the widely used Dataset Aggregation (DAgger) method on the classical linear-quadratic regulator by a factor proportional to the total time duration. We further numerically demonstrate that the proposed sampling strategy significantly improves the performance on tested control problems, including the optimal landing problem of a quadrotor and the optimal reaching problem of a 7 DoF manipulator.

math.OC↗

arXiv2022

Solving Optimal Control Problems of Rigid-Body Dynamics with Collisions Using the Hybrid Minimum Principle

Collisions are common in many dynamical systems with real applications. They can be formulated as hybrid dynamical systems with discontinuities automatically triggered when states transverse certain manifolds. We present an algorithm for the optimal control problem of such hybrid dynamical systems based on solving the equations derived from the hybrid minimum principle (HMP). The algorithm is an iterative scheme following the spirit of the method of successive approximations (MSA), and it is robust to undesired collisions observed in the initial guesses. We propose several techniques to address the additional numerical challenges introduced by the presence of discontinuities. The algorithm is tested on disc collision problems whose optimal solutions exhibit one or multiple collisions. Linear convergence in terms of iteration steps and asymptotic first-order accuracy in terms of time discretization are observed when the algorithm is implemented with the forward-Euler scheme. The numerical results demonstrate that the proposed algorithm has better accuracy and convergence than direct methods based on gradient descent. Furthermore, the algorithm is also simpler, more accurate, and more stable than a deep reinforcement learning method.

math.OC↗

arXiv2022

Empowering Optimal Control with Machine Learning: A Perspective from Model Predictive Control

Solving complex optimal control problems have confronted computational challenges for a long time. Recent advances in machine learning have provided us with new opportunities to address these challenges. This paper takes model predictive control, a popular optimal control method, as the primary example to survey recent progress that leverages machine learning techniques to empower optimal control solvers. We also discuss some of the main challenges encountered when applying machine learning to develop more robust optimal control algorithms.

math.OC↗

arXiv2022

Learning High-Dimensional McKean-Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence

One of the core problems in mean-field control and mean-field games is to solve the corresponding McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). Most existing methods are tailored to special cases in which the mean-field interaction only depends on expectation or other moments and thus inadequate to solve problems when the mean-field interaction has full distribution dependence. In this paper, we propose a novel deep learning method for computing MV-FBSDEs with a general form of mean-field interactions. Specifically, built on fictitious play, we recast the problem into repeatedly solving standard FBSDEs with explicit coefficient functions. These coefficient functions are used to approximate the MV-FBSDEs' model coefficients with full distribution dependence, and are updated by solving another supervising learning problem using training data simulated from the last iteration's FBSDE solutions. We use deep neural networks to solve standard BSDEs and approximate coefficient functions in order to solve high-dimensional MV-FBSDEs. Under proper assumptions on the learned functions, we prove that the convergence of the proposed method is free of the curse of dimensionality (CoD) by using a class of integral probability metrics previously developed in [Han, Hu and Long, arXiv:2104.12036]. The proved theorem shows the advantage of the method in high dimensions. We present the numerical performance in high-dimensional MV-FBSDE problems, including a mean-field game example of the well-known Cucker-Smale model whose cost depends on the full distribution of the forward process.

math.OC↗

arXiv2022

A Machine Learning Enhanced Algorithm for the Optimal Landing Problem

We propose a machine learning enhanced algorithm for solving the optimal landing problem. Using Pontryagin's minimum principle, we derive a two-point boundary value problem for the landing problem. The proposed algorithm uses deep learning to predict the optimal landing time and a space-marching technique to provide good initial guesses for the boundary value problem solver. The performance of the proposed method is studied using the quadrotor example, a reasonably high dimensional and strongly nonlinear system. Drastic improvement in reliability and efficiency is observed.

math.OC↗

arXiv2021

Perturbational Complexity by Distribution Mismatch: A Systematic Analysis of Reinforcement Learning in Reproducing Kernel Hilbert Space

Most existing theoretical analysis of reinforcement learning (RL) is limited to the tabular setting or linear models due to the difficulty in dealing with function approximation in high dimensional space with an uncertain environment. This work offers a fresh perspective into this challenge by analyzing RL in a general reproducing kernel Hilbert space (RKHS). We consider a family of Markov decision processes $\mathcal{M}$ of which the reward functions lie in the unit ball of an RKHS and transition probabilities lie in a given arbitrary set. We define a quantity called perturbational complexity by distribution mismatch $\Delta_{\mathcal{M}}(\epsilon)$ to characterize the complexity of the admissible state-action distribution space in response to a perturbation in the RKHS with scale $\epsilon$. We show that $\Delta_{\mathcal{M}}(\epsilon)$ gives both the lower bound of the error of all possible algorithms and the upper bound of two specific algorithms (fitted reward and fitted Q-iteration) for the RL problem. Hence, the decay of $\Delta_\mathcal{M}(\epsilon)$ with respect to $\epsilon$ measures the difficulty of the RL problem on $\mathcal{M}$. We further provide some concrete examples and discuss whether $\Delta_{\mathcal{M}}(\epsilon)$ decays fast or not in these examples. As a byproduct, we show that when the reward functions lie in a high dimensional RKHS, even if the transition probability is known and the action space is finite, it is still possible for RL problems to suffer from the curse of dimensionality.

cs.LG↗

arXiv2021

A spectral-based analysis of the separation between two-layer neural networks and linear methods

We propose a spectral-based approach to analyze how two-layer neural networks separate from linear methods in terms of approximating high-dimensional functions. We show that quantifying this separation can be reduced to estimating the Kolmogorov width of two-layer neural networks, and the latter can be further characterized by using the spectrum of an associated kernel. Different from previous work, our approach allows obtaining upper bounds, lower bounds, and identifying explicit hard functions in a united manner. We provide a systematic study of how the choice of activation functions affects the separation, in particular the dependence on the input dimension. Specifically, for nonsmooth activation functions, we extend known results to more activation functions with sharper bounds. As concrete examples, we prove that any single neuron can instantiate the separation between neural networks and random feature models. For smooth activation functions, one surprising finding is that the separation is negligible unless the norms of inner-layer weights are polynomially large with respect to the input dimension. By contrast, the separation for nonsmooth activation functions is independent of the norms of inner-layer weights.

stat.ML↗

arXiv2021

A Class of Dimension-free Metrics for the Convergence of Empirical Measures

This paper concerns the convergence of empirical measures in high dimensions. We propose a new class of probability metrics and show that under such metrics, the convergence is free of the curse of dimensionality (CoD). Such a feature is critical for high-dimensional analysis and stands in contrast to classical metrics ({\it e.g.}, the Wasserstein metric). The proposed metrics fall into the category of integral probability metrics, for which we specify criteria of test function spaces to guarantee the property of being free of CoD. Examples of the selected test function spaces include the reproducing kernel Hilbert spaces, Barron space, and flow-induced function spaces. Three applications of the proposed metrics are presented: 1. The convergence of empirical measure in the case of random variables; 2. The convergence of $n$-particle system to the solution to McKean-Vlasov stochastic differential equation; 3. The construction of an $\varepsilon$-Nash equilibrium for a homogeneous $n$-player game by its mean-field limit. As a byproduct, we prove that, given a distribution close to the target distribution measured by our metric and a certain representation of the target distribution, we can generate a distribution close to the target one in terms of the Wasserstein metric and relative entropy. Overall, we show that the proposed class of metrics is a powerful tool to analyze the convergence of empirical measures in high dimensions without CoD.

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