Related papers: Remarks on Differential Inclusion limits of Stocha…
This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…
We study fast approximation of integrals with respect to stationary probability measures associated to iterated functions systems on the unit interval. We provide an algorithm for approximating the integrals under certain conditions on the…
A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of…
Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…
We introduce novel convergence results for asynchronous iterations that appear in the analysis of parallel and distributed optimization algorithms. The results are simple to apply and give explicit estimates for how the degree of asynchrony…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
We consider an incremental approximation method for solving variational problems in infinite-dimensional Hilbert spaces, where in each step a randomly and independently selected subproblem from an infinite collection of subproblems is…
The paper deals with analysis and design of sliding mode control systems modeled by finite-dimensional integro-differential equations. Filippov method and equivalent control approach are extended to a class of nonlinear discontinuous…
The article is devoted to the expansions of iterated Stratonovich stochastic integrals on the basis of the method of generalized multiple Fourier series that converge in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k\in\mathbb{N}.$…
Motivated by the recent contribution \cite{BB17} we study the scaling limit behavior of a class of one-dimensional stochastic differential equations which has a unique attracting point subject to a small additional repulsive perturbation.…
To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…
In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a stochastic algorithmic differentiation and a regression. The…
This paper introduces a discretization-accurate stopping criterion of symmetric iterative methods for solving systems of algebraic equations resulting from the finite element approximation. The stopping criterion consists of the evaluations…
Diffusion models have emerged as powerful tools for generative modeling, demonstrating exceptional capability in capturing target data distributions from large datasets. However, fine-tuning these massive models for specific downstream…
We consider the safety evaluation of discrete time, stochastic systems over a finite horizon. Therefore, we discuss and link probabilistic invariance with reachability as well as reach-avoid problems. We show how to efficiently compute…
We study the consistency of stochastic dynamic programs under converging probability distributions and other approximations. Utilizing results on the epi-convergence of expectation functions with varying measures and integrands, and the…
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin's optimality principle. It is known that the MSA may fail to converge. Using careful…
In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
Since their introduction, anchoring methods in extragradient-type saddlepoint problems have inspired a flurry of research due to their ability to provide order-optimal rates of accelerated convergence in very general problem settings. Such…