Related papers: Dynamic programming principle in cost-efficient se…
The efficiency of an experimental design is ultimately measured in terms of time and resources needed for the experiment. Optimal sequential (multi-stage) design is studied in the situation where each stage involves a fixed cost. The…
In this paper we introduce a binary search algorithm that efficiently finds initial maximum likelihood estimates for sequential experiments where a binary response is modeled by a continuous factor. The problem is motivated by switching…
We study the optimal design of switching measurements of small Josephson junction circuits which operate in the macroscopic quantum tunnelling regime. Starting from the D-optimality criterion we derive the optimal design for the estimation…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
We have studied the switching behaviour of a small capacitance Josephson junction both in experiment, and by numerical simulation of a model circuit. The switching is a comples process involving the transition between two dynamical states…
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
Over the past decade we have seen an explosion of demonstrations of quantum coherence in atomic, optical, and condensed matter systems. These developments have placed a new emphasis on the production of robust and optimal quantum control…
The dynamics of overdamped Josephson junctions under varying microwave-driving conditions have been studied through numerical simulations using the resistively-shunted junction (RSJ) model, with a focus on primary voltage metrology…
The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…
We develop dynamical programming methods for the purpose of optimal control of quantum states with convex constraints and concave cost and bequest functions of the quantum state. We consider both open loop and feedback control schemes,…
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…
Switching time optimization arises in finite-horizon optimal control for switched systems where, given a sequence of continuous dynamics, one minimizes a cost function with respect to the switching times. We propose an efficient method for…
We tackle the problem of accurate simulations of switching currents arising from tunnel events in the washboard potentials associated to Josephson junctions. The measurements of the probability distribution of the switching currents is…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
Optimal tracking in switched systems with controlled subsystem and Discrete-time (DT) dynamics is investigated. A feedback control policy is generated such that a) the system tracks the desired reference signal, and b) the optimal switching…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
Process monitoring and control requires detection of structural changes in a data stream in real time. This article introduces an efficient sequential Monte Carlo algorithm designed for learning unknown changepoints in continuous time. The…