Related papers: On Lock-down Control of a Pandemic Model
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE) with…
The paper considers the problems of optimal vaccination control in the classical SIR model under constraints on the resource capabilities of the insurance medical system, in particular under constraints on the possible absolute rate of…
The recent COVID-19 pandemic highlighted the need of non-pharmaceutical interventions in the first stages of a pandemic. Among these, lockdown policies proved unavoidable yet extremely costly from an economic perspective. To better…
The long time behavior and detailed convergence analysis of Langevin equations has received increased attention over the last years. Difficulties arise from a lack of coercivity, usually termed hypocoercivity, of the underlying kinetic…
Optimal and safety-critical control are fundamental problems for stochastic systems, and are widely considered in real-world scenarios such as robotic manipulation and autonomous driving. In this paper, we consider the problem of…
We present a new formulation for the emergence of classical dynamics in a quantum world by considering a path integral approach that also incorporates continuous measurements. Our program is conceptually different from the decoherence…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
The Feynman path integral approach to quantum mechanics is examined in the case where the configuration space is curved. It is shown how the ambiguity that is present in the choice of path integral measure may be resolved if, in addition to…
This paper proposes an actor-critic algorithm for controlling the temperature of a battery pack using a cooling fluid. This is modeled by a coupled 1D partial differential equation (PDE) with a controlled advection term that determines the…
A fully regulated definition of Feynman's path integral is presented here. The proposed re-formulation of the path integral coincides with the familiar formulation whenever the path integral is well-defined. In particular, it is consistent…
We propose a new method for the numerical solution of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value function in stochastic optimal control problems. Using Girsanov's…
The book deals with a stochastic formulation of path integration in real time, by rotating the_space_ variables over exp(i pi/4). Preliminary chapters deal with quantum and classical mechanics, probability theory and stochastic calculus,…
We present a path integral formalism for expressing matrix elements of the density matrix of a quantum many-body system between any two coherent states in terms of standard Matsubara action with periodic(anti-periodic) boundary conditions…
Designing optimal controllers for nonlinear dynamical systems often relies on reinforcement learning and adaptive dynamic programming (ADP) to approximate solutions of the Hamilton Jacobi Bellman (HJB) equation. However, these methods…
Applicability of Feynman path integral approach to numerical simulations of quantum dynamics in real time domain is examined. Coherent quantum dynamics is demonstrated with one dimensional test cases (quantum dot models) and performance of…
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…
In the Feynman-Kac[1] path integral approach the eigenvalues of a quantum system can be computed using Wiener measure which uses Brownian particle motion. In our previous work[2-3] on such systems we have observed that the Wiener process…
We present an analysis of the Feynman path centroid density that provides new insight into the correspondence between the path integral and the Schr\"odinger formulations of statistical mechanics. The path centroid density is a central…
Symplectic quantization is a functional approach to quantum field theory that allows sampling of quantum fluctuations directly in Minkowski space-time by means of a generalized microcanonical ensemble similar to the one of the standard…
New physical insight into the correspondence between path integral concepts and the Schr\"odinger formulation is gained by the analysis of the effective classical potential, that is defined within the Feynman path integral formulation of…