Related papers: Optimal Convergence Rate in Feed Forward Neural Ne…
In this paper, we derive a Fast Reflected Forward-Backward (Fast RFB) algorithm to solve the problem of finding a zero of the sum of a maximally monotone operator and a monotone and Lipschitz continuous operator in a real Hilbert space. Our…
Robust control of complex engineered and biological systems hinges on the integration of feedforward and feedback mechanisms. This is exemplified in neural motor control, where feedforward muscle co-contraction complements sensory-driven…
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…
Hamilton-Jacobi (HJ) reachability provides formal safety guarantees for dynamical systems, but solving high-dimensional HJ partial differential equations limits its use in real-time planning. This paper presents a contingency-aware…
Verification theorems are key results to successfully employ the dynamic programming approach to optimal control problems. In this paper we introduce a new method to prove verification theorems for infinite dimensional stochastic optimal…
Composite adaptive radial basis function neural network (RBFNN) control with a lattice distribution of hidden nodes has three inherent demerits: 1) the approximation domain of adaptive RBFNNs is difficult to be determined a priori; 2) only…
Hamilton-Jacobi partial differential equations (HJ PDEs) have deep connections with a wide range of fields, including optimal control, differential games, and imaging sciences. By considering the time variable to be a higher dimensional…
We provide a data-driven framework for optimal control of a continuous-time stochastic dynamical system. The proposed framework relies on the linear operator theory involving linear Perron-Frobenius (P-F) and Koopman operators. Our first…
The research presented in this paper advances the integration of Hebbian learning into Convolutional Neural Networks (CNNs) for image processing, systematically exploring different architectures to build an optimal configuration, adhering…
The Best-Worst Method (BWM) has emerged as a prominent multi-criteria decision-making method for determining the weights of the decision criteria. Among various BWM models, this research focuses on the linear model of the BWM. This model…
This paper first introduces a method to approximate the value function of high-dimensional optimal control by neural networks. Based on the established relationship between Pontryagin's maximum principle (PMP) and the value function of the…
The delta-bar-delta algorithm is recognized as a learning rate adaptation technique that enhances the convergence speed of the training process in optimization by dynamically scheduling the learning rate based on the difference between the…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
This paper presents an inverse optimality method to solve the Hamilton-Jacobi-Bellman equation for a class of nonlinear problems for which the cost is quadratic and the dynamics are affine in the input. The method is inverse optimal because…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing…
Optimal control problems driven by evolutionary partial differential equations arise in many industrial applications and their numerical solution is known to be a challenging problem. One approach to obtain an optimal feedback control is…
Hamilton-Jacobi (HJ) reachability analysis is a widely adopted verification tool to provide safety and performance guarantees for autonomous systems. However, it involves solving a partial differential equation (PDE) to compute a safety…
We design fast numerical methods for Hamilton-Jacobi equations in density space (HJD), which arises in optimal transport and mean field games. We overcome the curse-of-infinite-dimensionality nature of HJD by proposing a generalized Hopf…