相关论文: A two-stage numerical approach for the sparse init…

When particles/molecules diffuse in systems that contain obstacles, the steady-state regime (during which the mean-square displacement scales linearly with time, $\left< r^2 \right> \sim t$) is preceded by a transient regime. It is common…

We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…

In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…

This work develops a proximal primal-dual decentralized strategy for multi-agent optimization problems that involve multiple coupled affine constraints, where each constraint may involve only a subset of the agents. The constraints are…

In this paper we study the problem of computing the effective diffusivity for a particle moving in chaotic and stochastic flows. In addition we numerically investigate the residual diffusion phenomenon in chaotic advection. The residual…

Inverse problem to determine simultaneously a general space- and time-dependent source and an initial state in a fractional diffusion equation from an {\it a posteriori} measurement of the normal derivative of the state on a portion of a…

This paper considers the optimal boundary control of chemical systems described by advection-diffusion-reaction (ADR) equations. We use a discontinuous Galerkin finite element method (DG-FEM) for the spatial discretization of the governing…

We consider the optimal control problem governed by diffusion convection reaction equation without control constraints. The proper orthogonal decomposition(POD) method is used to reduce the dimension of the problem. The POD method may be…

Diffusive search for a static target is a common problem in statistical physics with numerous applications in chemistry and biology. We look at this problem from a different perspective and investigate the statistics of encounters between…

In this paper, we study a multi-objective inverse initial problem with a Nash strategy constraint for forward stochastic reaction-diffusion equations with dynamic boundary conditions, where both the volume and surface equations are…

In this paper, we propose and analyze a new stochastic homogenization method for diffusion equations with random and fast oscillatory coefficients. In the proposed method, the homogenized solutions are sought through a two-stage procedure.…

This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…

In this paper, we establish the almost sure convergence of two-timescale stochastic gradient descent algorithms in continuous time under general noise and stability conditions, extending well known results in discrete time. We analyse…

This paper considers sequential adaptive estimation of sparse signals under a constraint on the total sensing effort. The advantage of adaptivity in this context is the ability to focus more resources on regions of space where signal…

In this paper, an alternative approximation to the innovation method is introduced for the parameter estimation of diffusion processes from partial and noisy observations. This is based on a convergent approximation to the first two…

The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…

We present a new splitting method for time-dependent convection-dominated diffusion problems. The original convection diffusion system is split into two sub-systems: a pure convection system and a diffusion system. At each time step, a…

Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…

The aim of this paper is to study and classify the multiplicity of distinguished limits and asymptotic solutions for the advection equation with a general oscillating velocity field with the systematic use of the two-timing method. Our…

We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and…