相关论文: Optimal Multistage Sampling in a Boundary-Crossing…

We consider the nonlinear optimal control of bypass transition in a boundary layer flow subjected to a pair of free stream vortical perturbations using a receding horizon approach. The optimal control problem is solved using the Lagrange…

We study the problem of parameter estimation for the homogenization limit of multiscale systems involving fractional dynamics. In the case of stochastic multiscale systems driven by Brownian motion, it has been shown that in order for the…

A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…

Optimal sampled-data control of a nonlinear system is considered with the stable-manifold approach and extensive use of numerical techniques. The idea is to notice the Hamiltonian system associated with the considered optimal control…

We consider the problem of optimal estimation of the value of a vector parameter $\thetavector=(\theta_0,\ldots,\theta_n)^{\top}$ of the drift term in a fractional Brownian motion represented by the finite sum…

There is a growing interest in the implementation of platform trials, which provide the flexibility to incorporate new treatment arms during the trial and the ability to halt treatments early based on lack of benefit or observed…

We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…

We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…

We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…

The process of dynamic state estimation (filtering) based on point process observations is in general intractable. Numerical sampling techniques are often practically useful, but lead to limited conceptual insight about optimal…

Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we…

The $\alpha$-Brownian bridge, or scaled Brownian bridge, is a generalization of the Brownian bridge with a scaling parameter that determines how strong the force that pulls the process back to 0 is. The bias of the maximum likelihood…

We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bridge. The result includes the Brownian bridge problem as a…

We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…

This paper considers multiple binary hypothesis tests with adaptive allocation of sensing resources from a shared budget over a small number of stages. A Bayesian formulation is provided for the multistage allocation problem of minimizing…

Subcritical transition to turbulence in spatially developing boundary layer flows can be triggered efficiently by finite amplitude perturbations. In this work, we employ adjoint-based optimization to identify optimal initial perturbations…

We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…

The optimal control of a globally unstable two-dimensional separated boundary layer over a bump is considered using augmented Lagrangian optimization procedures. The present strategy allows of controlling the flow from a fully developed…

In systems possessing spatial or dynamical symmetry breaking, Brownian motion combined with symmetric external input signals, deterministic or random, alike, can assist directed motion of particles at the submicron scales. In such cases,…

A system reservoir model, where the associated reservoir is modulated by an external colored random force, is proposed to study the transport of an overdamped Brownian particle in a periodic potential. We then derive the analytical…