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We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
We investigate single-particle diffusion in a two-state Langevin model where the friction coefficient randomly switches between low-friction (liquid-like) and high-friction (glassy-like) states. The dynamics are governed by the ratio…
Understanding the dimension dependency of computational complexity in high-dimensional sampling problem is a fundamental problem, both from a practical and theoretical perspective. Compared with samplers with unbiased stationary…
In this paper we consider a new probability sampling methods based on Langevin diffusion dynamics to resolve the problem of existing Monte Carlo algorithms when draw samples from high dimensional target densities. We extent…
We investigate a novel type of Langevin model that describes the nonequilibrium dynamics of a classical particle interacting with a spatially extended environment. In this model, a particle, which interacts with the environment through the…
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…
This paper is concerned with the problem of enhancing convection-cooling via active control of the incompressible velocity field, described by a stationary diffusion-convection model. This essentially leads to a bilinear optimal control…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
Langevin dynamics has become a popular tool to simulate the Boltzmann equilibrium distribution. When the repartition of the Langevin equation involves the exact realization of the Ornstein-Uhlenbeck noise, in addition to the conventional…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We analyze a recently proposed class of algorithms for the problem of sampling from probability distributions $\mu^\ast$ in $\mathbb{R}^d$ with a Lebesgue density of the form $\mu^\ast(x) \propto \exp(-f(Kx)-g(x))$, where $K$ is a linear…
We introduce a numerical method for Brownian dynamics with position dependent diffusion tensor which is second order accurate for sampling the invariant measure while requiring only one force evaluation per timestep. Analysis of the…
We theoretically study Langevin systems with a tilted periodic potential. It has been known that the ratio $\Theta$ of the diffusion constant to the differential mobility is not equal to the temperature of the environment (multiplied by the…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
A solid system consisting of two heat conducting cylinders with a thermoelectric converter (Peltier element) between them is considered. A nonlinear model, which was previously verified by authors, is used to design a constrained control…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
Heat fluctuations over a time \tau in a non-equilibrium stationary state and in a transient state are studied for a simple system with deterministic and stochastic components: a Brownian particle dragged through a fluid by a harmonic…
Using the methods of computer modeling this scientific paper studies the special features of diffusion of the particles subjected to the external periodic force in the crystal lattice. The particle motion is described by a Langevin…