Related papers: Efficient adaptive step size control for exponenti…
We study the adaptive control of an unknown linear system with a quadratic cost function subject to safety constraints on both the states and actions. The challenges of this problem arise from the tension among safety, exploration,…
It is known in \cite{beccari} that the standard explicit Euler-type scheme (such as the exponential Euler and the linear-implicit Euler schemes) with a uniform timestep, though computationally efficient, may diverge for the stochastic…
This paper provides an exponential stability result for the adaptive anti-unwinding attitude tracking control problem of a rigid body with uncertain but constant inertia parameters, without requiring the satisfaction of persistent…
A novel method of an adaptive linear quadratic (LQ) regulation of uncertain continuous linear time-invariant systems is proposed. Such an approach is based on the direct self-tuning regulators design framework and the exponentially stable…
We present a theoretical analysis of stochastic optimization methods in terms of their sensitivity with respect to the step size. We identify a key quantity that, for each method, describes how the performance degrades as the step size…
Classical discrete-time adaptive controllers provide asymptotic stabilization. While the original adaptive controllers did not handle noise or unmodelled dynamics well, redesigned versions were proven to have some tolerance; however,…
We propose and analyze an adaptive step-size variant of the Davis-Yin three operator splitting. This method can solve optimization problems composed by a sum of a smooth term for which we have access to its gradient and an arbitrary number…
Spectral Deferred Correction (SDC) is an iterative method for the numerical solution of ordinary differential equations. It works by refining the numerical solution for an initial value problem by approximately solving differential…
We introduce the energy-stepping Monte Carlo (ESMC) method, a Markov chain Monte Carlo (MCMC) algorithm based on the conventional dynamical interpretation of the proposal stage but employing an energy-stepping integrator. The…
Time series are difficult to monitor, summarize and predict. Segmentation organizes time series into few intervals having uniform characteristics (flatness, linearity, modality, monotonicity and so on). For scalability, we require fast…
We introduce a new class of arbitrary-order exponential time differencing methods based on spectral deferred correction (ETDSDC) and describe a simple procedure for initializing the requisite matrix functions. We compare the stability and…
It has previously been shown that varying the numerical timestep during a symplectic orbital integration leads to a random walk in energy and angular momentum, destroying the phase space-conserving property of symplectic integrators. Here…
We present an adaptive method for the automatic scaling of Random-Walk Metropolis-Hastings algorithms, which quickly and robustly identifies the scaling factor that yields a specified overall sampler acceptance probability. Our method…
We propose a matrix-free algorithm for evaluating linear combinations of $\varphi$-function actions, $w_i := \sum_{j=0}^{p} \alpha_i^{\,j}\,\varphi_j(t_i A)v_j$ for $i=1\colon r$, arising in exponential integrators. The method combines the…
We design an algorithmic framework using matrix exponentials for time-domain simulation of power delivery network (PDN). Our framework can reuse factorized matrices to simulate the large-scale linear PDN system with variable stepsizes. In…
A second order explicit one-step numerical method for the initial value problem of the general ordinary differential equation is proposed. It is obtained by natural modifications of the well-known leapfrog method, which is a second order,…
Stochastic minimax optimization on Riemannian manifolds has recently attracted significant attention due to its broad range of applications, such as robust training of neural networks and robust maximum likelihood estimation. Existing…
State-of-the-art robotics simulators operate in discrete time. This requires users to choose a time step, which is both critical and challenging: large steps can produce non-physical artifacts, while small steps force the simulation to run…
In this paper we extend the polynomial time integration framework to include exponential integration for both partitioned and unpartitioned initial value problems. We then demonstrate the utility of the exponential polynomial framework by…
This paper is concerned with the theory, construction and application of variable-stepsize implicit Peer two-step methods that are super-convergent for variable stepsizes, i.e., preserve their classical order achieved for uniform stepsizes…