Related papers: A Multilevel Approach for Stochastic Nonlinear Opt…
In this article we consider recursive approximations of the smoothing distribution associated to partially observed stochastic differential equations (SDEs), which are observed discretely in time. Such models appear in a wide variety of…
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…
In this study, we give an extension of Montanaro's arXiv/archive:1504.06987 quantum Monte Carlo method, tailored for computing expected values of random variables that exhibit infinite variance. This addresses a challenge in analyzing…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…
The Bayesian inversion method demonstrates significant potential for solving inverse problems, enabling both point estimation and uncertainty quantification (UQ). However, Bayesian maximum a posteriori (MAP) estimation may become unstable…
We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive…
Real-world distributed systems and networks are often unreliable and subject to random failures of its components. Such a stochastic behavior affects adversely the complexity of optimization tasks performed routinely upon such systems, in…
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
This article introduces a numerical algorithm that serves as a preliminary step toward solving continuous-time model predictive control (MPC) problems directly without explicit time-discretization. The chief ingredients of the underlying…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
We introduce a new Monte Carlo method by incorporating a guided distribution function to the conventional Monte Carlo method. In this way, the efficiency of Monte Carlo methods is drastically improved. To further speed up the algorithm, we…
This article presents a novel approach, named MCMP (Monte Carlo Motion Planning), to the problem of motion planning under uncertainty, i.e., to the problem of computing a low-cost path that fulfills probabilistic collision avoidance…
Sampling-based approaches are widely used in systems without analytic models to estimate risk or find optimal control. However, gathering sufficient data in such scenarios can be prohibitively costly. On the other hand, in many situations,…
Optimal control is an essential tool for stabilizing complex nonlinear systems. However, despite the extensive impacts of methods such as receding horizon control, dynamic programming and reinforcement learning, the design of cost functions…
In this paper, we study a class of stochastic bilevel optimization problems, also known as stochastic simple bilevel optimization, where we minimize a smooth stochastic objective function over the optimal solution set of another stochastic…
This study proposes a method for designing stabilizing suboptimal controllers for nonlinear stochastic systems. These systems include time-invariant stochastic parameters that represent uncertainty of dynamics, posing two key difficulties…