相关论文: Optimal Filtering for Interacting Particle Systems

We propose a novel approach to input design for identification of nonlinear state space models. The optimal input sequence is obtained by maximizing a scalar cost function of the Fisher information matrix. Since the Fisher information…

A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…

To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…

In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…

In this paper, we consider a new framework for particle filtering under model uncertainty that operates beyond the scope of Markovian switching systems. Specifically, we develop a novel particle filtering algorithm that applies to general…

In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…

We present a particle filtering algorithm for stochastic models on infinite dimensional state space, making use of Girsanov perturbations to nudge the ensemble of particles into regions of higher likelihood. We argue that the optimal…

We present a reformulation of stochastic global optimization as a filtering problem. The motivation behind this reformulation comes from the fact that for many optimization problems we cannot evaluate exactly the objective function to be…

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…

This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…

Particle filters are a frequent choice for inference tasks in nonlinear and non-Gaussian state-space models. They can either be used for state inference by approximating the filtering distribution or for parameter inference by approximating…

Motivated by a general principle governing regulation mechanisms in biological cells, we investigate a general interaction scheme between different populations of particles and specific particles, referred to as agents. Assuming that each…

We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

Bayesian filtering approximates the true underlying behavior of a time-varying system by inverting an explicit generative model to convert noisy measurements into state estimates. This process typically requires either storage, inversion,…

An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

The effectiveness of collective navigation of biological or artificial agents requires to accommodate for contrasting requirements, such as staying in a group while avoiding close encounters and at the same time limiting the energy…

We review recent quantitative results on the approximation of mean field diffusion equations by large systems of interacting particles, obtained by optimal coupling methods. These results concern a larger range of models, more precise…

A series of novel filters for probabilistic inference that propose an alternative way of performing Bayesian updates, called particle flow filters, have been attracting recent interest. These filters provide approximate solutions to…