Related papers: Probabilistic error analysis for some approximatio…
This paper considers linear discrete-time systems with additive disturbances, and designs a Model Predictive Control (MPC) law to minimise a quadratic cost function subject to a chance constraint. The chance constraint is defined as a…
Optimization of expensive computer models with the help of Gaussian process emulators in now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We…
Analyzing probabilistic programs and randomized algorithms are classical problems in computer science. The first basic problem in the analysis of stochastic processes is to consider the expectation or mean, and another basic problem is to…
In this paper, a sample-based procedure for obtaining simple and computable approximations of chance-constrained sets is proposed. The procedure allows to control the complexity of the approximating set, by defining families of…
The classical approach to system identification is based on stochastic assumptions about the measurement error, and provides estimates that have random nature. Worst-case identification, on the other hand, only assumes the knowledge of…
The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…
The scope of this paper is the analysis and approximation of an optimal control problem related to the Allen-Cahn equation. A tracking functional is minimized subject to the Allen-Cahn equation using distributed controls that satisfy…
We study Tikhonov regularization for possibly nonlinear inverse problems with weighted $\ell^1$-penalization. The forward operator, mapping from a sequence space to an arbitrary Banach space, typically an $L^2$-space, is assumed to satisfy…
In this paper we study optimal control problems with either fractional or regional fractional $p$-Laplace equation, of order $s$ and $p\in [2,\infty)$, as constraints over a bounded open set with Lipschitz continuous boundary. The control,…
We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] for fully nonlinear parabolic PDEs, and hence generalize it to the path-dependent (or…
In this paper, we present approximation algorithms for combinatorial optimization problems under probabilistic constraints. Specifically, we focus on stochastic variants of two important combinatorial optimization problems: the k-center…
We introduce a method for approximating viscosity solutions of stationary degenerate elliptic Hamilton--Jacobi--Bellman equations on bounded domains arising in stochastic exit-time control. Viscosity enforcement is formulated as a min--max…
In this paper, we study a class of stochastic and finite-sum convex optimization problems with deterministic constraints. Existing methods typically aim to find an $\epsilon$-$expectedly\ feasible\ stochastic\ optimal$ solution, in which…
Meta-heuristics are powerful tools for solving optimization problems whose structural properties are unknown or cannot be exploited algorithmically. We propose such a meta-heuristic for a large class of optimization problems over discrete…
In this paper, we consider convex stochastic optimization problems arising in machine learning applications (e.g., risk minimization) and mathematical statistics (e.g., maximum likelihood estimation). There are two main approaches to solve…
Computing the probability of evidence even with known error bounds is NP-hard. In this paper we address this hard problem by settling on an easier problem. We propose an approximation which provides high confidence lower bounds on…
In this paper, we propose a minimax linear-quadratic control method to address the issue of inaccurate distribution information in practical stochastic systems. To construct a control policy that is robust against errors in an empirical…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
In this article, we discuss two algorithms tailored to discrete-time deterministic finite-horizon nonlinear optimal control problems or so-called deterministic trajectory optimization problems. Both algorithms can be derived from an…