Related papers: Improved order 1/4 convergence for piecewise const…
Stochastic ordering among distributions has been considered in a variety of scenarios. Economic studies often involve research about the ordering of investment strategies or social welfare. However, as noted in the literature, stochastic…
In this paper, we propose a generalized successive approximation method (SAM), called invariantly admissible policy iteration (PI), for finding the solution to a class of input-affine nonlinear optimal control problems by iterations. Unlike…
We apply the piecewise constant, discontinuous Galerkin method to discretize a fractional diffusion equation with respect to time. Using Laplace transform techniques, we show that the method is first order accurate at the \$n\$th time level…
We consider the stabilization of Vlasov--Poisson plasma dynamics, a central control problem in nuclear fusion. Our focus is the gap between what an ideal controller would use and what experiments can actually observe: while optimal policy…
This work proposes a decision-making framework for partially observable systems in continuous time with discrete state and action spaces. As optimal decision-making becomes intractable for large state spaces we employ approximation methods…
In this paper, we explore provable acceleration of diffusion models without any additional retraining. Focusing on the task of approximating a target data distribution in $\mathbb{R}^d$ to within $\varepsilon$ total-variation distance, we…
The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
The diffusion approximation of stochastic gradient descent (SGD) in current literature is only valid on a finite time interval. In this paper, we establish the uniform-in-time diffusion approximation of SGD, by only assuming that the…
This paper provides an elementary, self-contained analysis of diffusion-based sampling methods for generative modeling. In contrast to existing approaches that rely on continuous-time processes and then discretize, our treatment works…
Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential…
We propose an embedded discontinuous Galerkin (EDG) method to approximate the solution of a distributed control problem governed by convection diffusion PDEs, and obtain optimal a priori error estimates for the state, dual state, their…
We develop an ultra-weak variational formulation of a fractional advection diffusion problem in one space dimension and prove its well-posedness. Based on this formulation, we define a DPG approximation with optimal test functions and show…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
We resolve a long-standing open question, about the existence of a constant-factor approximation algorithm for the average-case \textsc{Decision Tree} problem with uniform probability distribution over the hypotheses. We answer the question…
Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…
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…
Safety-critical control of piecewise affine (PWA) systems under bounded additive disturbances requires guarantees not for individual states but for entire state sets simultaneously: a single control action must steer every state in the set…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…
We propose and analyze a new discretization technique for a linear-quadratic optimal control problem involving the fractional powers of a symmetric and uniformly elliptic second oder operator; control constraints are considered. Since these…