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Gaussian Mixture Models (GMM) do not adapt well to curved and strongly nonlinear data. However, we can use Gaussians in the curvilinear coordinate systems to solve this problem. Moreover, such a solution allows for the adaptation of…
We consider the problem of steering an initial probability density for the state vector of a linear system to a final one, in finite time, using minimum energy control. In the case where the dynamics correspond to an integrator ($\dot x(t)…
This paper studies a stochastic model that describes the evolution of vehicle densities in a road network. It is consistent with the class of (deterministic) kinematic wave models, which describe traffic flows on the basis of conservation…
Our article considers a Gaussian variational approximation of the posterior density in a high-dimensional state space model. The variational parameters to be optimized are the mean vector and the covariance matrix of the approximation. The…
In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of completely correlated fractional Brownian motions. We…
In highly nonlinear systems such as the ones commonly found in astrodynamics, Gaussian distributions generally evolve into non-Gaussian distributions. This paper introduces a method for effectively controlling non-Gaussian distributions in…
We investigate a numerical behaviour of robust deterministic optimal control problem subject to a convection diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing…
The Bayesian smoothing equations are generally intractable for systems described by nonlinear stochastic differential equations and discrete-time measurements. Gaussian approximations are a computationally efficient way to approximate the…
We study steering in the framework of general probabilistic theories. We show that for dichotomic assemblages, steering can be characterized in terms of a certain tensor cross norm, which is also related to a steering degree given by…
We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic…
Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numerical methods for approximating the solution of the filtering…
We consider the problem of evaluating dynamic consistency in discrete time probabilistic filters that approximate stochastic system state densities with Gaussian mixtures. Dynamic consistency means that the estimated probability…
The problem of optimizing affine feedback laws that explicitly steer the mean and covariance of an uncertain system state in the presence of a Gaussian random field is considered. Spatially-dependent disturbances are successively…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We consider the optimal transport problem between multivariate Gaussian stationary stochastic processes. The transportation effort is the variance of the filtered discrepancy process. The main contribution of this technical note is to show…
We address two important statistical problems: that of estimating mixtures of multivariate normal distributions and mixtures of $t$-distributions based on univariate projections, and that of quantifying a discrepancy between mixture…
We focus on Bayesian inverse problems with Gaussian likelihood, linear forward model, and priors that can be formulated as a Gaussian mixture. Such a mixture is expressed as an integral of Gaussian density functions weighted by a mixing…
In the setting of a recently developed cellular stochastic traffic flow model, it has shown that the joint per-cell vehicle densities, as a function of time, can be accurately approximated by a Gaussian process, which has the attractive…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…