Related papers: A Viscosity Framework for Dynamic Programming Prin…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…
We introduce novel approximate systems for dispersive and diffusive-dispersive equations with nonlinear fluxes. For purely dispersive equations, we construct a first-order, strictly hyperbolic approximation. Local well-posedness of smooth…
The inadequacy of the classical viscous damping model in capturing dissipation across a wide range of applications has led to the development of non-viscous damping models. While non-viscous models describe damping force satisfactorily,…
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also on the joint law of them. The value function $V$ defined in…
This paper develops a new storage-optimal algorithm that provably solves generic semidefinite programs (SDPs) in standard form. This method is particularly effective for weakly constrained SDPs. The key idea is to formulate an approximate…
We introduce a framework that represents a dynamic program as a family of operators acting on a partially ordered set. We provide an optimality theory based only on order-theoretic assumptions and show how applications across almost all…
The DD-CPM software library provides a set of tools for the discretization and solution of problems arising from the closest point method (CPM) for partial differential equations on surfaces. The solvers are built on top of the well-known…
We provide a unified strategy to show that solutions of dynamic programming principles associated to the $p$-Laplacian converge to the solution of the corresponding Dirichlet problem. Our approach includes all previously known cases for…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
We propose a new approach to models of general compressible viscous fluids based on the concept of dissipative solutions. These are weak solutions satisfying the underlying equations modulo a defect measure. A dissipative solution coincides…
This paper presents a comprehensive analysis of a broad range of variations of the stochastic proximal point method (SPPM). Proximal point methods have attracted considerable interest owing to their numerical stability and robustness…
We consider a general family of nonlocal in space and time diffusion equations with space-time dependent diffusivity and prove convergence of finite difference schemes in the context of viscosity solutions under very mild conditions. The…
Approximations of optimization problems arise in computational procedures and sensitivity analysis. The resulting effect on solutions can be significant, with even small approximations of components of a problem translating into large…
We prove the first, even super-polynomial, lower bounds on the size of tropical (min,+) and (max,+) circuits approximating given optimization problems. Many classical dynamic programming (DP) algorithms for optimization problems are pure in…
In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove…
Often computational models are too expensive to be solved in the entire domain of simulation, and a cheaper model would suffice away from the main zone of interest. We present for the concrete example of an evolution problem of advection…
In this work, an efficient approximation scheme has been proposed for getting accurate approximate solution of nonlinear partial differential equations with constant or variable coefficients satisfying initial conditions in a series of…
We describe a framework in which is possible to develop and implement algorithms for the approximation of invariant measures of dynamical systems with a given bound on the error of the approximation. Our approach is based on a general…
We consider a general class of Dynamic Programming (DP) problems with non-separable objective functions. We show that for any problem in this class, there exists an augmented-state DP problem which satisfies the Principle of Optimality and…
The notion of viscosity solutions of scalar fully nonlinear partial differential equations of second order provides a framework in which startling comparison and uniqueness theorems, existence theorems, and theorems about continuous…