Related papers: Taylor approximation and variance reduction for PD…
Fabrication process variations are a major source of yield degradation in the nano-scale design of integrated circuits (IC), microelectromechanical systems (MEMS) and photonic circuits. Stochastic spectral methods are a promising technique…
We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in that, following a specific relaxation, it transforms into a…
The H2 guaranteed cost decentralized control problem is investigated in this work. More specifically, on the basis of an appropriate H2 re-formulation that we put in place, the optimal control problem in the presence of parameter…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
We investigate a hybrid PDE/Monte Carlo technique for the variance reduced simulation of an agent-based multiscale model for tumor growth. The variance reduction is achieved by combining a simulation of the stochastic agent-based model on…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
Although the mean-variance control was initially formulated for financial portfolio management problems in which one wants to maximize expected return and control the risk, our motivations also stem from highway vehicle platoon controls…
In this contribution we device and analyze improved variants of the non-conforming dual approach for trust-region reduced basis (TR-RB) approximation of PDE-constrained parameter optimization that has recently been introduced in [Keil et…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
The $\ell_0$-constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computational demands. From a markedly different perspective, we propose…
We consider a novel Bayesian approach to estimation, uncertainty quantification, and variable selection for a high-dimensional linear regression model under sparsity. The number of predictors can be nearly exponentially large relative to…
Sparse polynomial approximation has become indispensable for approximating smooth, high- or infinite-dimensional functions from limited samples. This is a key task in computational science and engineering, e.g., surrogate modelling in…
Under certain conditions, the largest eigenvalue of a sample covariance matrix undergoes a well-known phase transition when the sample size $n$ and data dimension $p$ diverge proportionally. In the subcritical regime, this eigenvalue has…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
This paper presents an efficient Bayesian framework for solving nonlinear, high-dimensional model calibration problems. It is based on a Variational Bayesian formulation that aims at approximating the exact posterior by means of solving an…
We introduce a family of hybrid discretisations for the numerical approximation of optimal control problems governed by the equations of immiscible displacement in porous media. The proposed schemes are based on mixed and discontinuous…
This work describes a domain embedding technique between two non-matching meshes used for generating realizations of spatially correlated random fields with applications to large-scale sampling-based uncertainty quantification. The goal is…
Pairwise likelihood is a useful approximation to the full likelihood function for covariance estimation in high-dimensional context. It simplifies high-dimensional dependencies by combining marginal bivariate likelihood objects, thus making…
PDE-constrained optimal control problems require regularisation to ensure well-posedness, introducing small perturbations that make the solutions challenging to approximate accurately. We propose a finite element approach that couples both…