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This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Rogers (2010) in the sense that it only relies on the dual…

Mathematical Finance · Quantitative Finance 2024-10-18 Aurélien Alfonsi , Ahmed Kebaier , Jérôme Lelong

In this paper we will present a quantum algorithm which works very efficiently in case of multiple matches within the search space and in the case of few matches, the algorithm performs classically. This allows us to propose a hybrid…

Quantum Physics · Physics 2008-08-06 Ahmed Younes , Jon Rowe , Julian Miller

We propose a discrete time formulation of the semi martingale optimal transport problembased on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by Guo et…

Optimization and Control · Mathematics 2024-06-18 Jean-David Benamou , Guillaume Chazareix , Grégoire Loeper

Unmanned Aerial Vehicles (UAVs) are increasingly populating urban areas for delivery and surveillance purposes. In this work, we develop an optimal navigation strategy based on Deep Reinforcement Learning. The environment is represented by…

Artificial Intelligence · Computer Science 2025-10-30 Federica Tonti , Ricardo Vinuesa

Models involving hybrid systems are versatile in their application but difficult to optimize efficiently due to their combinatorial nature. This work presents a method to cope with hybrid optimal control problems which, in contrast to…

Optimization and Control · Mathematics 2025-05-20 Viktoriya Nikitina , Alberto De Marchi , Matthias Gerdts

We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17],…

Optimization and Control · Mathematics 2024-12-03 Jean-David Benamou , Guillaume Chazareix , Grégoire Loeper

In this research, a new variant of the vehicle routing problem with time windows is addressed. The nodes associated with the customers are related to each other through AND/OR precedence constraints. The objective is minimizing the total…

Optimization and Control · Mathematics 2021-06-04 Mina Roohnavazfar , Seyed Hamid Reza Pasandideh , Roberto Tadei

With growing environmental concerns, electric vehicles for logistics have gained significant attention within the computational intelligence community in recent years. This work addresses an emerging and significant extension of the…

Neural and Evolutionary Computing · Computer Science 2025-05-27 Zubin Zheng , Shengcai Liu , Yew-Soon Ong

Uncertain dynamic obstacles, such as pedestrians or vehicles, pose a major challenge for optimal robot navigation with safety guarantees. Previous work on motion planning has followed two main strategies to provide a safe bound on an…

This work develops a compute-efficient algorithm to tackle a fundamental problem in transportation: that of urban travel demand estimation. It focuses on the calibration of origin-destination travel demand input parameters for…

Multiagent Systems · Computer Science 2024-12-19 Suyash Vishnoi , Akhil Shetty , Iveel Tsogsuren , Neha Arora , Carolina Osorio

In this paper, we address two optimisation problems arising in the context of city logistics and two-level transportation systems. The two-echelon vehicle routing problem and the two-echelon location routing problem seek to produce vehicle…

Data Structures and Algorithms · Computer Science 2016-10-05 Ulrich Breunig , Verena Schmid , Richard F. Hartl , Thibaut Vidal

Search-based motion planning algorithms have been widely utilized for unmanned aerial vehicles (UAVs). However, deploying these algorithms on real UAVs faces challenges due to limited onboard computational resources. The algorithms struggle…

Robotics · Computer Science 2024-11-13 Wentao Wang , Yi Shen , Kaiyang Chen , Kaifan Lu

We present a dynamic nonlocal hybrid Monte Carlo algorithm consisting of pivot and ``cut-and-permute'' moves. The algorithm is suitable for the study of polymers in semiconfined geometries at the ordinary transition, where the pivot…

Statistical Mechanics · Physics 2007-05-23 Maria Serena Causo

Numerical methods for solving the ideal magnetohydrodynamic (MHD) equations in more than one space dimension must either confront the challenge of controlling errors in the discrete divergence of the magnetic field, or else be faced with…

Numerical Analysis · Mathematics 2015-05-19 Christiane Helzel , James A. Rossmanith , Bertram Taetz

The problem is area-restricted search for targets using an autonomous mobile sensing platform. Detection is imperfect: the probability of detection depends on the range to the target, while the probability of false detections is non-zero.…

Information Theory · Computer Science 2019-11-12 Branko Ristic , Alex Skvortsov

The paper proposes a novel hybrid method for solving equilibrium problems and fixed point problems. By constructing specially cutting-halfspaces, in this algorithm, only an optimization program is solved at each iteration without the…

Optimization and Control · Mathematics 2015-10-30 Dang Van Hieu

This paper presents a new type of hybrid model for Bayesian optimization (BO) adept at managing mixed variables, encompassing both quantitative (continuous and integer) and qualitative (categorical) types. Our proposed new hybrid models…

Machine Learning · Computer Science 2024-01-22 Hengrui Luo , Younghyun Cho , James W. Demmel , Xiaoye S. Li , Yang Liu

We propose two deep neural network-based methods for solving semi-martingale optimal transport problems. The first method is based on a relaxation/penalization of the terminal constraint, and is solved using deep neural networks. The second…

Optimization and Control · Mathematics 2021-03-08 Ivan Guo , Nicolas Langrené , Grégoire Loeper , Wei Ning

For rapid growth in technology and automation, human tasks are being taken over by robots as robots have proven to be better with both speed and precision. One of the major and widespread usages of these robots is in the industrial…

Robotics · Computer Science 2020-06-11 Ashutosh Kumar Tiwari , Sandeep Varma Nadimpalli

Autonomous navigation is essential for steel bridge inspection robot to monitor and maintain the working condition of steel bridges. Majority of existing robotic solutions requires human support to navigate the robot doing the inspection.…

Robotics · Computer Science 2021-03-15 Hoang-Dung Bui , Hung M. La
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