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Designing optimal controllers for nonlinear dynamical systems often relies on reinforcement learning and adaptive dynamic programming (ADP) to approximate solutions of the Hamilton Jacobi Bellman (HJB) equation. However, these methods…
In this paper, we develop algorithms to overcome the curse of dimensionality in possibly non-convex state-dependent Hamilton-Jacobi equations (HJ PDEs) arising from optimal control and differential game problems. The subproblems are…
The continuous dynamical system approach to deep learning is explored in order to devise alternative frameworks for training algorithms. Training is recast as a control problem and this allows us to formulate necessary optimality conditions…
A problem of computing time-fuel optimal control for state transfer of a single input linear time invariant (LTI) system to the origin is considered. The input is assumed to be bounded. Since, the optimal control is bang-off-bang in nature,…
We construct an importance sampling method for computing statistics related to rare events for weakly interacting diffusions. Standard Monte Carlo methods behave exponentially poorly with the number of particles in the system for such…
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalisation error for a class of penalty terms, and we…
The Symplectic Pontryagin method was introduced in a previous paper. This work shows that this method is applicable under less restrictive assumptions. Existence of solutions to the Symplectic Pontryagin scheme are shown to exist without…
Recent observations have been made that bridge splitting methods arising from optimization, to the Hopf and Lax formulas for Hamilton-Jacobi Equations with Hamiltonians $H(p)$. This has produced extremely fast algorithms in computing…
This paper revisits the bandit problem in the Bayesian setting. The Bayesian approach formulates the bandit problem as an optimization problem, and the goal is to find the optimal policy which minimizes the Bayesian regret. One of the main…
Optimal feedback controllers for nonlinear systems can be derived by solving the Hamilton-Jacobi-Bellman (HJB) equation. However, because the HJB is a nonlinear partial differential equation, numerical methods typically provide only…
Accurate and efficient estimation of rare events probabilities is of significant importance, since often the occurrences of such events have widespread impacts. The focus in this work is on precisely quantifying these probabilities, often…
Hamilton-Jacobi reachability analysis is a powerful technique used to verify the safety of autonomous systems. This method is very good at handling non-linear system dynamics with disturbances and flexible set representations. A drawback to…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
We exploit the separation of the filtering and control aspects of quantum feedback control to consider the optimal control as a classical stochastic problem on the space of quantum states. We derive the corresponding Hamilton-Jacobi-Bellman…
Construction and diagonalization of the Hamiltonian matrix is the rate-limiting step in most low-energy electron -- molecule collision calculations. Tennyson (J Phys B, 29 (1996) 1817) implemented a novel algorithm for Hamiltonian…
We formulate and analyze a new method for solving optimal control problems for systems governed by Volterra integral equations. Our method utilizes discretization of the original Volterra controlled system and a novel type of dynamic…
Recently, significant connections between compressed sensing problems and optimization of a particular class of functions relating to solutions of Hamilton-Jacobi equation was discovered. In this paper we introduce a fast approximate…
The Hopf formula for Hamilton-Jacobi reachability (HJR) analysis has been proposed to solve high-dimensional differential games, producing the set of initial states and corresponding controller required to reach (or avoid) a target despite…
This paper presents a new and straightforward procedure for solving bilinear quadratic optimal control problem. In this method, first the original optimal control problem is transformed into a nonlinear twopoint boundary value problem…
We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and Zhou (J. Mach. Learn. Res., 21, 2020) in the context of…