Related papers: Optimal Residuals and the Dahlquist Test Problem
The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic…
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
We consider an optimal control problem for the obstacle problem with an elliptic variational inequality. The obstacle function which is the control function is assumed in $H^{2}$. We use an approximate technique to introduce a family of…
In this work, we consider an optimal control problem subject to a nonlinear PDE constraint and apply it to the regularized $p$-Laplace equation. To this end, a reduced unconstrained optimization problem in terms of the control variable is…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
We construct a finite element method (FEM) for the infinity Laplacian. Solutions of this problem may be singular, which has prompted us to conduct an a posteriori analysis of the method deriving residual based estimators to drive an…
We present a review of methods for optimal experimental design (OED) for Bayesian inverse problems governed by partial differential equations with infinite-dimensional parameters. The focus is on problems where one seeks to optimize the…
In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…
We consider a linear-quadratic elliptic optimal control problem with point evaluations of the state variable in the cost functional. The state variable is discretized by conforming linear finite elements. For control discretization, three…
In this work, we present composite Bernstein polynomials as a direct collocation method for approximating optimal control problems. An analysis of the convergence properties of composite Bernstein polynomials is provided, and beneficial…
The Reduced Basis (RB) method is a well established method for the model order reduction of problems formulated as parametrized partial differential equations. One crucial requirement for the application of RB schemes is the availability of…
This article discusses numerical analysis of the distributed optimal control problem governed by the von K\'{a}rm\'{a}n equations defined on a polygonal domain in $\mathbb{R}^2$. The state and adjoint variables are discretised using the…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…
For the pure biharmonic equation and a biharmonic singular perturbation problem, a residual-based error estimator is introduced which applies to many existing nonconforming finite elements. The error estimator involves the local…
In this paper we consider a parabolic optimal control problem with a Dirac type control with moving point source in two space dimensions. We discretize the problem with piecewise constant functions in time and continuous piecewise linear…
The present paper is devoted to the study of diagonally quadratic backward stochastic differential equation with oblique reflection. Using a penalization approach, we show the existence fo a solution by providing some delicated a priori…
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 work, new theoretical results on functional type a posteriori estimates for elliptic optimal control problems with control constraints are presented. More precisely, we derive new, sharp, guaranteed and fully computable lower bounds…