Related papers: H infinity Analysis Revisited
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…
In this paper, we revisit the technique of doubling variables in first order Hamilton-Jacobi equations, especially when the equations arise in optimal control. We show that by tuning the penalization between the two points, we can change…
In this paper we propose a new observability property for nonautonomous linear control systems in finite dimension; the nonuniform complete observability, which is more general than the uniform complete observability. The main result of…
Presented is a method for efficient computation of the Hamilton-Jacobi (HJ) equation for time-optimal control problems using the generalized Hopf formula. Typically, numerical methods to solve the HJ equation rely on a discrete grid of the…
In this paper, we develop a general approach for probabilistic estimation and optimization. An explicit formula and a computational approach are established for controlling the reliability of probabilistic estimation based on a mixed…
We present a new methodology for studying non-Hamiltonian nonlinear systems based on an information theoretic extension of a renormalization group technique using a modified maximum entropy principle. We obtain a rigorous dimensionally…
In this paper we propose a primal-dual homotopy method for $\ell_1$-minimization problems with infinity norm constraints in the context of sparse reconstruction. The natural homotopy parameter is the value of the bound for the constraints…
$H$-theorem states that the entropy production is nonnegative and, therefore, the entropy of a closed system should monotonically change in time. In information processing, the entropy production is positive for random transformation of…
We study an entropy measure for quantum systems that generalizes the von Neumann entropy as well as its classical counterpart, the Gibbs or Shannon entropy. The entropy measure is based on hypothesis testing and has an elegant formulation…
Finding the minimal relative entropy of two quantum states under semidefinite constraints is a pivotal problem located at the mathematical core of various applications in quantum information theory. An efficient method for providing…
We present a technique to study normalizing strategies when termination is asymptotic, that is, it appears as a limit, as opposite to reaching a normal form in a finite number of steps. Asymptotic termination occurs in several settings,…
We establish the null controllability for linear stochastic fourth order parabolic equations. Utilizing the duality argument, the null controllability is reduced to the observability for backward fourth order stochastic parabolic equations,…
We present a detailed analysis of the convergence properties of Lyapunov control for finite-dimensional quantum systems based on the application of the LaSalle invariance principle and stability analysis from dynamical systems and control…
An approach is presented for robustness analysis and quantum (unitary) control synthesis based on the classic method of averaging. The result is a multicriterion optimization competing the nominal (uncertainty-free) fidelity with a well…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
We derive an It\^o-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of It\^o's formula. To…
We investigate the following generalisation of the entropy of quantum measurement. Let H be an infinite-dimensional separable Hilbert space with a 'density' operator {\rho}, tr {\rho}=1. Let I(P)\in R be defined for any partition P =…
We introduce a Monte Carlo scheme for fully nonlinear parabolic nonlocal PDE's whose nonlinearity in of Hamilton-Jacobi-Bellman-Isaacs (HJBI for short). We avoid the difficulties of infinite L\'evy measure by truncation of the L\'evy…
The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems…