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This paper introduces OptimizedDP, a high-performance software library for several common grid-based dynamic programming (DP) algorithms used in control theory and robotics. Specifically, OptimizedDP provides functions to numerically solve…
Solving partial differential equations (PDEs) is a central task in scientific computing. Recently, neural network approximation of PDEs has received increasing attention due to its flexible meshless discretization and its potential for…
We consider a deterministic optimal control problem with a maximum running cost functional, in a finite horizon context, and propose deep neural network approximations for Bellman's dynamic programming principle, corresponding also to some…
This paper proposes a new family of algorithms for training neural networks (NNs). These are based on recent developments in the field of non-convex optimization, going under the general name of successive convex approximation (SCA)…
In this paper we introduce an iterative Jacobi algorithm for solving distributed model predictive control (DMPC) problems, with linear coupled dynamics and convex coupled constraints. The algorithm guarantees stability and persistent…
The Heston model is a well-known two-dimensional financial model. Because the Heston model contains implicit parameters that cannot be determined directly from real market data, calibrating the parameters to real market data is challenging.…
The paper suggests a method of recovering missing values for sequences, including sequences with a multidimensional index, based on optimal approximation by processes featuring spectrum degeneracy. The problem is considered in the pathwise…
Approximate solutions of partial differential equations (PDEs) obtained by neural networks are highly affected by hyper parameter settings. For instance, the model training strongly depends on loss function design, including the choice of…
We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate…
One of the most challenging issues in applied mathematics is to develop and analyze algorithms which are able to approximately compute solutions of high-dimensional nonlinear partial differential equations (PDEs). In particular, it is very…
Hamilton-Jacobi reachability (HJR) provides a value function that encodes the set of states from which a system with bounded control inputs can reach or avoid a target despite any bounded disturbance, and the corresponding robust, optimal…
We consider the problem of minimizing the sum of two convex functions: one is the average of a large number of smooth component functions, and the other is a general convex function that admits a simple proximal mapping. We assume the whole…
Non-autonomous differential equations are crucial for modeling systems influenced by external signals, yet fitting these models to data becomes particularly challenging when the signals change abruptly. To address this problem, we propose a…
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming approaches, we first approximate the optimal policy by means of…
Approximate dynamic programming is a popular method for solving large Markov decision processes. This paper describes a new class of approximate dynamic programming (ADP) methods- distributionally robust ADP-that address the curse of…
Solving partial differential equations (PDEs) within the framework of probabilistic numerics offers a principled approach to quantifying epistemic uncertainty arising from discretization. By leveraging Gaussian process regression and…
This article introduces an algorithm for implicit High Dimensional Model Representation (HDMR) of the Bellman equation. This approximation technique reduces memory demands of the algorithm considerably. Moreover, we show that HDMR enables…
Stochastic versions of proximal methods have gained much attention in statistics and machine learning. These algorithms tend to admit simple, scalable forms, and enjoy numerical stability via implicit updates. In this work, we propose and…
Machine learning, as a tool to learn and model complicated (non)linear relationships between input and output data sets, has shown preliminary success in some HPC problems. Using machine learning, scientists are able to augment existing…
This paper proposes an algorithmic framework for solving parametric optimization problems which we call adjoint-based predictor-corrector sequential convex programming. After presenting the algorithm, we prove a contraction estimate that…