相关论文: Importance Sampling for the Empirical Measure of W…
High-quality random samples of quantum states are needed for a variety of tasks in quantum information and quantum computation. Searching the high-dimensional quantum state space for a global maximum of an objective function with many local…
Contaminations are a key concern in modern statistical learning, as small but systematic perturbations of all datapoints can substantially alter estimation results. Here, we study Wasserstein-$r$ contaminations ($r\ge 1$) in an $\ell_q$…
We develop a theoretical framework for studying numerical estimation of lower previsions, generally applicable to two-level Monte Carlo methods, importance sampling methods, and a wide range of other sampling methods one might devise. We…
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…
This paper is devoted to developing a unified framework for stochastic growth models with environmental risk, in which rare but catastrophic shocks interact with capital accumulation and pollution. The analysis is based upon a general…
Astrophysical fluids under the influence of magnetic fields are often subjected to single-fluid or two-fluid approximations. In the case of weakly ionized plasmas however, this can be inappropriate due to distinct responses from the…
We perform a systematic study of optimization problems in the Wasserstein spaces that are analogs of infinite horizon, deterministic control problems. We derive necessary conditions on action minimizing paths and present a sufficient…
We explore the approximation of feedback control of integro-differential equations containing a fractional Laplacian term. To obtain feedback control for the state variable of this nonlocal equation we use the Hamilton--Jacobi--Bellman…
We develop a class of barycenter problems based on mean field control problems in three dimensions with associated reactive-diffusion systems of unnormalized multi-species densities. This problem is the generalization of the Wasserstein…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
Exciton diffusion plays a vital role in the function of many organic semiconducting opto-electronic devices, where an accurate description requires precise control of heterojunctions. This poses a challenging problem because the…
In this paper we prove a large deviation principle (LDP) for the empirical measure of a general system of mean-field interacting diffusions with singular drift (as the number of particles tends to infinity) and show convergence to the…
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting…
Recent studies have extended the use of the stochastic Hamilton-Jacobi-Bellman (HJB) equation to include complex variables for deriving quantum mechanical equations. However, these studies often assume that it is valid to apply the HJB…
The problem of sampling according to the probability distribution minimizing a given free energy, using interacting particles unadjusted kinetic Langevin Monte Carlo, is addressed. In this setting, three sources of error arise, related to…
Over the last 25 years, techniques based on drift and minorization (d&m) have been mainstays in the convergence analysis of MCMC algorithms. However, results presented herein suggest that d&m may be less useful in the emerging area of…
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…
Although many computational methods for rare event sampling exist, this type of calculation is not usually practical for general nonequilibrium conditions, with macroscopically irreversible dynamics and away from both stationary and…
This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…
Weak measurements are a subset of measurement processes in quantum mechanics wherein the system which is being measured interacts very weakly with the measuring apparatus. Measurement values of observables undergoing a weak interaction and…