Related papers: Stochastic Bridges over Ensemble of Linear Systems
In order to understand the impact of random influences at physical boundary on the evolution of multiscale systems, a stochastic partial differential equation model under a fast random dynamical boundary condition is investigated. The…
We introduce a novel approach based on stochastic optimization to find the optimal sampling distribution for the data-driven stability analysis of switched linear systems. Our goal is to address limitations of existing approaches, in…
The selection of an equilibrium state by maximising the entropy of a system, subject to certain constraints, is often powerfully motivated as an exercise in logical inference, a procedure where conclusions are reached on the basis of…
We consider a gas of independent Brownian particles on a bounded interval in contact with two particle reservoirs at the endpoints. Due to the Brownian nature of the particles, infinitely many particles enter and leave the system in each…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
Conditions on the generator of a Markov process to control the fluctuations of its bridges are found. In particular, continuous time random walks on graphs and gradient diffusions are considered. Under these conditions, a concentration of…
Stochastic dominance serves as a general framework for modeling a broad spectrum of decision preferences under uncertainty, with risk aversion as one notable example, as it naturally captures the intrinsic structure of the underlying…
This work is devoted to the effective macroscopic dynamics of a weakly damped stochastic nonlinear wave equation with a random dynamical boundary condition. The white noises are taken into account not only in the model equation defined on a…
Well-designed queuing systems form the backbone of modern communications, distributed computing, and content delivery architectures. Designs balancing infrastructure costs and user experience indices require tools from teletraffic theory…
An optimal control strategy is developed to construct nanostructures of desired geometry along line segments by means of directed self-assembly of charged particles. Such a control strategy determines the electric potentials of a set of…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
Preferences play a key role in determining what goals/constraints to satisfy when not all constraints can be satisfied simultaneously. In this work, we study preference-based planning in a stochastic system modeled as a Markov decision…
In biology and ecology, individuals or communities of individuals living in unpredictable environments often alternate between different evolutionary strategies to spread and reduce risks. Such behavior is commonly referred to as…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
Dynamic and evolving operational and economic environments present significant challenges for decision-making. We explore a simulation optimization problem characterized by non-stationary input distributions with regime-switching dynamics…
We study the impact of stochastic perturbations to deterministic dynamical systems using the formalism of the Ruelle response theory and explore how stochastic noise can be used to explore the properties of the underlying deterministic…
Starting from a classical mechanics of a ``colloid particle'' and $N$ ``water molecules'', we study effective stochastic dynamics of the particle which jumps between deep potential wells. We prove that the effective transition probability…
When a physical system is driven away from equilibrium, the statistical distribution of its dynamical trajectories informs many of its physical properties. Characterizing the nature of the distribution of dynamical observables, such as a…
Driven non-equilibrium lattice models have wide-ranging applications in contexts such as mass transport, traffic flow, and transport in biological systems. In this work, we investigate the steady-state properties of a one-dimensional…
In this work, we present a general method to establish properties of multi-dimensional continuous-time Markov chains representing stochastic reaction networks. This method consists of grouping states together (via a partition of the state…