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We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem over a finite time horizon. Our method corresponds to an…
This paper addresses the problem of finding multiple near-optimal, spatially-dissimilar paths that can be considered as alternatives in the decision making process, for finding optimal corridors in which to construct a new road. We further…
We adapt the problem of continuous congested optimal transport to the Heisenberg group, equipped with a sub-Riemannian metric. Originally introduced in the Euclidean setting by Carlier, Jimenez, and Santambrogio as a path-dependent variant…
Optimal transport (OT) defines a powerful framework to compare probability distributions in a geometrically faithful way. However, the practical impact of OT is still limited because of its computational burden. We propose a new class of…
In multi-objective optimization, a single decision vector must balance the trade-offs between many objectives. Solutions achieving an optimal trade-off are said to be Pareto optimal: these are decision vectors for which improving any one…
Recent work on Bayesian optimization has shown its effectiveness in global optimization of difficult black-box objective functions. Many real-world optimization problems of interest also have constraints which are unknown a priori. In this…
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex…
We investigate the asymptotic properties of the trajectories generated by a second-order dynamical system with Hessian driven damping and a Tikhonov regularization term in connection with the minimization of a smooth convex function in…
An universal primal-dual approach of description equilibriums in large class of hierarchical congestion population games is proposed. At the very core of the approach is hierarchy of enclosed to each other transport networks. In different…
This paper considers a class of distributed bilevel optimization (DBO) problems with a coupled inner-level subproblem. Existing approaches typically rely on hypergradient estimations involving computationally expensive Hessian evaluation.…
Such problems as computation of spectra of spin chains and vibrational spectra of molecules can be written as high-dimensional eigenvalue problems, i.e., when the eigenvector can be naturally represented as a multidimensional tensor. Tensor…
This work investigates several aspects related to quantitative stability in optimal transport, as well as uniqueness of the dual transport problem. Our main contributions are as follows. Chapter 1: Observations regarding the quantitative…
The problems of optimally estimating a phase, a direction, and the orientation of a Cartesian frame (or trihedron) with general pure states are addressed. Special emphasis is put on estimation schemes that allow for inconclusive answers or…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
Optimal transport distances are powerful tools to compare probability distributions and have found many applications in machine learning. Yet their algorithmic complexity prevents their direct use on large scale datasets. To overcome this…
Sample-based trajectory optimisers are a promising tool for the control of robotics with non-differentiable dynamics and cost functions. Contemporary approaches derive from a restricted subclass of stochastic optimal control where the…
We consider the problem of damping a control system with delay described by first-order functional-differential equations on a temporal tree. The delay in the system is time-proportional and propagates through the internal vertices. The…
We present a numerically tractable formulation for computing the optimal control of the class of hybrid dynamical systems whose trajectories are continuous. Our formulation, an extension of existing relaxed-control techniques for switched…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…