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We consider a deterministic optimal control problem with a maximum running cost functional, in a finite horizon context, and propose deep neural network approximations for Bellman's dynamic programming principle, corresponding also to some…
In this paper, we address the optimal control of stochastic matching models on general graphs and single arrivals having fixed arrival rates, as introduced in \cite{MaiMoy16}. On the `N-shaped' graph, by following the dynamic programming…
The optimization of dynamic problems is both widespread and difficult. When conducting dynamic optimization, a balance between reinitialization and computational expense has to be found. There are multiple approaches to this. In parallel…
Learning dynamical systems through purely data-driven methods is challenging as they do not learn the underlying conservation laws that enable them to correctly generalize. Existing port-Hamiltonian neural network methods have recently been…
In match race sailing, competitors must steer their boats upwind in the presence of unpredictably evolving weather. Combined with the tacking motion necessary to make upwind progress, this makes it natural to model their path-planning as a…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
A Markovian model for a quantum automata, i.e. an open quantum dynamical discrete-time system with input and output channels and a feedback, is described. A dynamical theory of quantum discrete-time adaptive measurements and multi-stage…
The dynamic cavity method provides the most efficient way to evaluate probabilities of dynamic trajectories in systems of stochastic units with unidirectional sparse interactions. It is closely related to sum-product algorithms widely used…
This paper studies a joint stochastic optimal control and stopping (JCtrlOS) problem motivated by aquaculture operations, where the objective is to maximize farm profit through an optimal feeding strategy and harvesting time under…
We present a neural network approach for approximating the value function of high-dimensional stochastic control problems. Our training process simultaneously updates our value function estimate and identifies the part of the state space…
We study classes of dynamical systems that can be obtained by constructing recursive networks with monotone Boolean functions. Stack filters in nonlinear signal processing are special cases of such systems. We show an analytical connection…
Animals are known to make efficient probabilistic inferences based on uncertain and noisy information from the outside world. Although it is known that generic neural networks can perform near-optimal point estimation by probabilistic…
We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
Deep Markov models (DMM) are generative models that are scalable and expressive generalization of Markov models for representation, learning, and inference problems. However, the fundamental stochastic stability guarantees of such models…
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfolio optimization is among many problems that have…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
We consider piecewise-deterministic optimal control problems in which the environment randomly switches among several deterministic modes, and the goal is to optimize the expected cost up to the termination while taking the likelihood of…
This paper considers the computational power of constant size, dynamic Bayesian networks. Although discrete dynamic Bayesian networks are no more powerful than hidden Markov models, dynamic Bayesian networks with continuous random variables…
Collective motion in animal groups emerges from the interplay between individual variability and social coordination, yet connecting these scales quantitatively has remained a major challenge.Using high-resolution trajectories of schooling…