Related papers: Remarks on Differential Inclusion limits of Stocha…
This paper considers stochastic monotone variational inequalities whose feasible region is the intersection of a (possibly infinite) number of convex functional level sets. A projection-based approach or direct Lagrangian-based techniques…
It is shown that under standard hypotheses, if stochastic approximation iterates remain tight, they converge with probability one to what their o.d.e. limit suggests. A simple test for tightness (and therefore a.s. convergence) is provided.…
A succesful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well chosen mean differential equation. Under an attainability condition,…
In this chapter, we present some recent progresses on the numerics for stochastic distributed parameter control systems, based on the \emph{finite transposition method} introduced in our previous works. We first explain how to reduce the…
In this paper, we present and analyze an interior penalty discontinuous Galerkin method for the distributed elliptic optimal control problems. It is based on a reconstructed discontinuous approximation which admits arbitrarily high-order…
Techniques from numerical bifurcation theory are very useful to study transitions between steady fluid flow patterns and the instabilities involved. Here, we provide computational methodology to use parameter continuation in determining…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is…
In this paper, we propose a generalized successive approximation method (SAM), called invariantly admissible policy iteration (PI), for finding the solution to a class of input-affine nonlinear optimal control problems by iterations. Unlike…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
In this article we present a modified S-iteration process that we combine with inertial extrapolation to find a common solution to the split monotone inclusion problem and the fixed point problem in real Hilbert space.Our goal is to…
Motivated by studies of indirect measurements in quantum mechanics, we investigate stochastic differential equations with a fixed point subject to an additional infinitesimal repulsive perturbation. We conjecture, and prove for an important…
This paper focuses on the invariance control problem for discrete-time switched nonlinear systems. The proposed approach computes controlled invariant sets in a finite number of iterations and directly yields a partition-based invariance…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
We study approximation of non-autonomous linear differential equations with variable delay over infinite intervals. We use piecewise constant argument to obtain a corresponding discrete difference equation. The study of numerical…
We present a method to overapproximate forward stochastic reach sets of discrete-time, stochastic nonlinear systems with interval geometry. This is made possible by extending the theory of mixed-monotone systems to incorporate stochastic…
We consider two approaches to balanced truncation of stochastic linear systems, which follow from different generalizations of the reachability Gramian of deterministic systems. Both preserve mean-square asymptotic stability, but only the…
This paper is a survey of recent contributions on estimation in stochastic differential equations with mixed-effects. These models involve N stochastic differential equations with common drift and diffusion functions but random parameters…
We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…
We consider large linear and nonlinear fixed point problems, and solution with proximal algorithms. We show that there is a close connection between two seemingly different types of methods from distinct fields: 1) Proximal iterations for…