相关论文: Optimal Filtering for Interacting Particle Systems

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

Feedback particle filter (FPF) is an algorithm to numerically approximate the solution of the nonlinear filtering problem in continuous time. The algorithm implements a feedback control law for a system of particles such that the empirical…

In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…

Planning and control for uncertain contact systems is challenging as it is not clear how to propagate uncertainty for planning. Contact-rich tasks can be modeled efficiently using complementarity constraints among other techniques. In this…

In this paper we combine two main topics in mechanics and optimal control theory: contact Hamiltonian systems and Pontryagin Maximum Principle. As an important result, among others, we develop a contact Pontryagin Maximum Principle that…

We consider a non-linear filtering problem, whereby the signal obeys the stochastic Navier-Stokes equations and is observed through a linear mapping with additive noise. The setup is relevant to data assimilation for numerical weather…

This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…

We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…

A distributed stochastic optimal control solution is presented for cooperative multi-agent systems. The network of agents is partitioned into multiple factorial subsystems, each of which consists of a central agent and neighboring agents.…

A family of optimal control problems for a single and two coupled spinning particles in the Euler-Lagrange formalism is discussed. A characteristic of such problems is that the equations controlling the system are implicit and a reduction…

In recent work (arXiv:1006.3100v1), we have presented a novel approach for improving particle filters for multi-target tracking. The suggested approach was based on drift homotopy for stochastic differential equations. Drift homotopy was…

We present an efficient particle filtering algorithm for multiscale systems, that is adapted for simple atmospheric dynamics models which are inherently chaotic. Particle filters represent the posterior conditional distribution of the state…

In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…

We investigate the optimal control problem for non-Markovian open, dissipative quantum system. Optimal control using Pontryagin maximum principle is specifically derived. The influences of Ohmic reservoir with Lorentz-Drude regularization…

This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…

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…

Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numerical methods for approximating the solution of the filtering…

We prove existence and uniqueness for some nonlinear stochastic differential equation used in molecular dynamics, whose nonlinearity comes from a conditional expectation term. We also introduce an interacting particle system in order to…

A quantum stochastic model for an open dynamical system (quantum receiver) and output multi-channel of observation with an additive nonvacuum quantum noise is given. A quantum stochastic Master equation for the corresponding instrument is…

A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…