Related papers: Optimal Filtering for Interacting Particle Systems

We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…

Many dynamical systems are subjected to stochastic influences, such as random excitations, noise, and unmodeled behavior. Tracking the system's state and parameters based on a physical model is a common task for which filtering algorithms,…

In recent work it is shown that importance sampling can be avoided in the particle filter through an innovation structure inspired by traditional nonlinear filtering combined with Mean-Field Game formalisms. The resulting feedback particle…

We present an optimal control problem to guide the selection of morphology classes arising in organic solar cells. The study focuses on phase separation processes in polymer solvent mixtures, with particular attention to solvent evaporation…

We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical…

Filtration of feed containing multiple species of particles is a common process in the industrial setting. In this work we propose a model for filtration of a suspension containing an arbitrary number of particle species, each with…

This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…

We consider optimal control problems, where the control appears in the main part of the operator. We derive the Pontryagin maximum principle as a necessary optimality condition. The proof uses the concept of topological derivatives. In…

In recent years, mutual information optimal control has been proposed as an extension of maximum entropy optimal control. Both approaches introduce regularization terms to render the policy stochastic, and it is important to theoretically…

Using results from quantum filtering theory and methods from classical control theory, we derive an optimal control strategy for an open two-level system (a qubit in interaction with the electromagnetic field) controlled by a laser. The aim…

We study recursive maximum likelihood estimation for stochastic interacting particle systems based on continuous observation of a single particle. In this regime, consistent estimation of the finite-particle log-likelihood is not possible,…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…

This paper concerns the parameter estimation problem for the quadratic potential energy in interacting particle systems from continuous-time and single-trajectory data. Even though such dynamical systems are high-dimensional, we show that…

Colloidal particles that experience perfectly elastic collisions can be modelled using Langevin processes with specular reflection conditions. The article presents a discretisation scheme and offers a conjecture for the rate of convergence…

We consider the optimal control of quantum systems interacting non-linearly with an electromagnetic field. We propose new monotonically convergent algorithms to solve the optimal equations. The monotonic behavior of the algorithm is ensured…

In this paper, we construct under general assumptions the stochastic dynamics of an interacting particle system in a bounded domain $\Omega$ with sticky boundary. Under appropriate conditions on the interaction the constructed process…

In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…

This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…

This paper investigates large-population stochastic control problems in which agents share their state information and cooperate to minimize a convex cost functional. The latter is decomposed into individual and coupling costs, with the…

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…