Related papers: On optimal stationary couplings between stationary…
This paper focuses on the Monge-Kantorovich formulation of the optimal transport problem and the associated $L^2$ Wasserstein distance. We use the $L^2$ Wasserstein distance in the Nearest Neighbour (NN) machine learning architecture to…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
In these notes I will review the results that have been obtained in these last years on the computation of the number of metastable states in infinite-range models of disordered systems. This is a particular case of the problem of computing…
We summarize the general results of El Karoui [1981] on optimal stopping problems for processes which are measurable with respect to Meyer-$\sigma$-fields. Meyer-$\sigma$-fields are due to Lenglart [1980] and include the optional and…
Perfect sampling is a technique that uses coupling arguments to provide a sample from the stationary distribution of a Markov chain in a finite time without ever computing the distribution. This technique is very efficient if all the events…
Asking for the optimal protocol of an external control parameter that minimizes the mean work required to drive a nano-scale system from one equilibrium state to another in finite time, Schmiedl and Seifert ({\it Phys. Rev. Lett.} {\bf 98},…
Motivated by information geometry, a distance function on the space of stochastic matrices is advocated. Starting with sequences of Markov chains the Bhattacharyya angle is advocated as the natural tool for comparing both short and long…
This work proposes an algorithm to bound the minimum distance between points on trajectories of a dynamical system and points on an unsafe set. Prior work on certifying safety of trajectories includes barrier and density methods, which do…
Additive or multiplicative stationary noise recently became an important issue in applied fields such as microscopy or satellite imaging. Relatively few works address the design of dedicated denoising methods compared to the usual white…
Calculating optimal policies is known to be computationally difficult for Markov decision processes (MDPs) with Borel state and action spaces. This paper studies finite-state approximations of discrete time Markov decision processes with…
In two phase materials, each phase having a non-local response in time, it has been found that for some driving fields the response somehow untangles at specific times, and allows one to directly infer useful information about the geometry…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We revisit well-known protocols in quantum metrology using collective spins and propose a unifying picture for optimal state preparation based on a semiclassical description in phase space. We show how this framework allows for quantitative…
We show that the existence of a "good"' coupling w.r.t. Hamming distance for any local Markov chain on a discrete product space implies rapid mixing of the Glauber dynamics in a blackbox fashion. More specifically, we only require the…
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…
Nonstationary and nonequilibrium processes are considered on the basis of an Enskog-Landau kinetic equation using a boundary conditions method. A nonstationary solution of this equation is found in the pair collision approximation. This…
The well-known reflection coupling gives a maximal coupling of two one-dimensional Brownian motions with different starting points. Nevertheless, the reflection coupling does not generalize to more than two Brownian motions. In this paper,…
It has recently been shown that finding the optimal measurement on the environment for stationary Linear Quadratic Gaussian control problems is a semi-definite program. We apply this technique to the control of the EPR-correlations between…
Markovian maximal couplings of Markov processes are characterized by an equality of total variation and a distance of Wasserstein type. If a Markovian maximal coupling is a Feller process, the generator can be calculated, e.g. for…