Related papers: Markov matrix perturbations to optimize dynamical …
This work studies discrete-time discounted Markov decision processes with continuous state and action spaces and addresses the inverse problem of inferring a cost function from observed optimal behavior. We first consider the case in which…
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we…
We consider Markov jump processes on a graph described by a rate matrix that depends on various control parameters. We derive explicit expressions for the static responses of edge currents and steady-state probabilities. We show that they…
The covariance matrix of measurements of Markov random fields (processes) has useful properties that allow to develop effective computational algorithms for many problems in the study of Markov fields on the basis of field observations…
Navier-Stokes equations are well known in modelling of an incompressible Newtonian fluid, such as air or water. This system of equations is very complex due to the non-linearity term that characterizes it. After the linearization and the…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
Recent advances in quantum technologies and related experiments have created a need for highly accurate, versatile, and computationally efficient simulation techniques for the dynamics of open quantum systems. Long-lived correlation effects…
This book is about solving matrix nearness problems that are related to eigenvalues or singular values or pseudospectra. These problems arise in great diversity in various fields, be they related to dynamics, as in questions of robust…
This paper proposes an adaptive stochastic Model Predictive Control (MPC) strategy for stable linear time invariant systems in the presence of bounded disturbances. We consider multi-input multi-output systems that can be expressed by a…
Markov-modulated fluids have a long history. They form a simple class of Markov additive processes, and were initially developed in the 1950s as models for dams and reservoirs, before gaining much popularity in the 1980s as models for…
In an era of unprecedented deluge of (mostly unstructured) data, graphs are proving more and more useful, across the sciences, as a flexible abstraction to capture complex relationships between complex objects. One of the main challenges…
Order-preserving couplings are elegant tools for obtaining robust estimates of the time-dependent and stationary distributions of Markov processes that are too complex to be analyzed exactly. The starting point of this paper is to study…
In this paper, we study the stationary states of diffusive dynamics driven out of equilibrium by reservoirs. For a small forcing, the system remains close to equilibrium and the large deviation functional of the density can be computed…
The problem of optimal real-time transmission of a Markov source under constraints on the expected number of transmissions is considered, both for the discounted and long term average cases. This setup is motivated by applications where…
Following [21, 23], the present work investigates a new relative entropy-regularized algorithm for solving the optimal transport on a graph problem within the randomized shortest paths formalism. More precisely, a unit flow is injected into…
Controlling dynamical fluctuations in open quantum systems is essential both for our comprehension of quantum nonequilibrium behaviour and for its possible application in near-term quantum technologies. However, understanding these…
We introduce a theoretical approach to study the quantum-dissipative dynamics of electronic excitations in macromolecules, which enables to perform calculations in large systems and cover long time intervals. All the parameters of the…
Stochastic phenomena occurring within charged particle beams can be handled using the Vlasov-Fokker-Planck generalization of the Vlasov equation. In particular, this non-deterministic approach can deal with effects due to Coulomb scattering…
This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton & Pages (2002) and based on simulation algorithms…
We provide a dynamical study of a model of multiplicative perturbation of a unitary matrix introduced by Fyodorov. In particular, we identify a flow of deterministic domains that bound the spectrum with high probability, separating the…