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We present a deep recurrent neural network architecture to solve a class of stochastic optimal control problems described by fully nonlinear Hamilton Jacobi Bellmanpartial differential equations. Such PDEs arise when one considers…
Optimal control of diffusion processes is intimately connected to the problem of solving certain Hamilton-Jacobi-Bellman equations. Building on recent machine learning inspired approaches towards high-dimensional PDEs, we investigate the…
The application of control tools to complex flows frequently requires approximations, such as reduced-order models and/or simplified forcing assumptions, where these may be considered low-rank or defined in terms of simplified statistics…
In this paper, we investigate the multi-marginal Schrodinger bridge (MSB) problem whose marginal constraints are marginal distributions of a stochastic differential equation (SDE) with a constant diffusion coefficient, and with time…
Despite the recent advances in the field of computational Schr\"odinger Bridges (SB), most existing SB solvers are still heavy-weighted and require complex optimization of several neural networks. It turns out that there is no principal…
In this paper we present a finite element analysis for a Dirichlet boundary control problem governed by the Stokes equation. The Dirichlet control is considered in a convex closed subset of the energy space $\mathbf{H}^1(\Omega).$ Most of…
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the terminal value of state. To tackle the time-inconsistency,…
We introduce and solve a two-band model of spinless fermions with $p_x$-wave pairing on a square lattice. The model reduces to the well-known extended Harper-Hofstadter model with half-flux quanta per plaquette and weakly coupled Kitaev…
We begin an investigation of hybridizable discontinuous Galerkin (HDG) methods for approximating the solution of Dirichlet boundary control problems governed by elliptic PDEs. These problems can involve atypical variational formulations,…
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…
We consider a generic, suitable class of optimal control problems under a constraint given by a finite-dimensional SDE-ODE system, describing a system of two interacting species of particles: the herd, described by SDEs, and the herders,…
This paper introduces SPDE bridges with observation noise and contains an analysis of their spatially semidiscrete approximations. The SPDEs are considered in the form of mild solutions in an abstract Hilbert space framework suitable for…
We study the Schr\"odinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by $\beta>0$, whose limiting regimes interpolate between the classical Schr\"odinger bridge, the Brenier-Strassen problem,…
We address two major challenges in scientific machine learning (SciML): interpretability and computational efficiency. We increase the interpretability of certain learning processes by establishing a new theoretical connection between…
A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of…
Presented is a method for efficient computation of the Hamilton-Jacobi (HJ) equation for time-optimal control problems using the generalized Hopf formula. Typically, numerical methods to solve the HJ equation rely on a discrete grid of the…
The integration of massive offshore wind into hybrid AC-HVDC grids demands robust DC voltage regulation, yet conventional fixed-gain droop controllers struggle under severe stochastic volatility. This paper bridges the gap between…
We prove the Hopf boundary point lemma for solutions of the Dirichlet problem involving the Schr\"odinger operator $- \Delta + V$ with a nonnegative potential $V$ which merely belongs to $L_{\mathrm{loc}}^1(\Omega)$. More precisely, if $u…
The control of stream-wise vortices in high Reynolds number boundary layer flows often aims at reducing the vortex energy as a means of mitigating the growth of secondary instabilities, which eventually delay the transition from laminar to…
We consider linear and nonlinear hyperbolic SPDEs with mixed derivatives with additive space-time Gaussian white noise of the form $Y_{xt}=F(Y) + \sigma W_{xt}.$ Such equations, which transform to linear and nonlinear wave equations,…