相关论文: Mean Escape Time of Switched Riccati Differential …
We present a method to learn mean residence time and escape probability from data modeled by stochastic differential equations. This method is a combination of machine learning from data (to extract stochastic differential equations as…
This paper proposes a novel iterative algorithm to compute the stabilizing solution of regime-switching stochastic game-theoretic Riccati differential equations with periodic coefficients. The method decomposes the original complex…
This paper proposes a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the generalised discrete algebraic Riccati equation. In…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered L\'evy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme…
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit…
The Riccati differential equation is examined in light of its connection to second order linear time varying systems. In that light it becomes the clear generalization for the characteristic equation of linear time invariant systems, and is…
Discrete algebraic Riccati equations and their fixed points are well understood and arise in a variety of applications, however, the time-varying equations have not yet been fully explored in the literature. In this article we provide a…
The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…
The mean exit time escaping basin of attraction in the presence of white noise is of practical importance in various scientific fields. In this work, we propose a strategy to control mean exit time of general stochastic dynamical systems to…
The mean first exit (passage) time characterizes the average time of a stochastic process never leaving a fixed region in the state space, while the escape probability describes the likelihood of a transition from one region to another for…
We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…
The escape of particles through a narrow absorbing gate in confined domains is a abundant phenomenon in various systems in physics, chemistry and molecular biophysics. We consider the narrow escape problem in a cellular flow when the two…
For non-Gaussian stochastic dynamical systems, mean exit time and escape probability are important deterministic quantities, which can be obtained from integro-differential (nonlocal) equations. We develop an efficient and convergent…
Properties of the noise-driven escape kinetics are mainly determined by the stochastic component of the system dynamics. Nevertheless, the escape dynamics is also sensitive to deterministic forces. Here, we are exploring properties of the…
It has been noticed that when the waiting time distribution exhibits a transition from an intermediate time power law decay to a long-time exponential decay in the continuous time random walk model, a transition from anomalous diffusion to…
Differential algebraic Riccati equations are at the heart of many applications in control theory. They are time-depent, matrix-valued, and in particular nonlinear equations that require special methods for their solution. Low-rank methods…
We consider the exit problem for a one-dimensional system with random switching near an unstable equilibrium point of the averaged drift. In the infinite switching rate limit, we show that the exit time satisfies a limit theorem with a…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…