搜索结果: 1-15 共查到“运筹学 stochastic”相关记录16条 . 查询时间(0.153 秒)
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：The complexity of computing Markov perfect equilibrium in general-sum stochastic games
一般 随机博弈 马尔可夫完美均衡 计算复杂性
2023/5/12
Similar to the role of Markov decision processes in reinforcement learning, Markov games (also known as stochastic games) form the basis for the study of multi-agent reinforcement learning and sequenc...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Stochastic approximation methods for nonconvex constrained optimization
非凸 约束优化 随机逼近方法
2023/4/14
Nonconvex constrained optimization (NCO) has been one of the important research fields in optimization community. It has widely appeared in many application fields. However, challenges for solving NCO...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Distributed Sparse Identification for Stochastic Dynamic Systems under Cooperative Non-Persistent Excitation Condition
协作 非持续激励条件 随机动态系统 分布式 稀疏辨识
2023/4/28
This talk considers the distributed sparse identification problem over wireless sensor networks such that all sensors cooperatively estimate the unknown sparse parameter vector of stochastic dynamic s...
Deterministic and stochastic perturbations of area preserving flows on a two-dimensional torus
Averaging Markov Process Hamiltonian Flow
2015/9/29
We study deterministic and stochastic perturbations of incompressible flows on
a two-dimensional torus. Even in the case of purely deterministic perturbations,
the long-time behavior of such &...
On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
Dynamic programming principle stochastic games Isaacs equation
2012/5/9
We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a...
On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains
Dynamic programming principle stochastic games Isaacs equation
2012/5/9
We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a...
A Stochastic Smoothing Algorithm for Semidefinite Programming
Semidefinite programming Gaussian smoothing eigenvalue problems
2012/4/18
We use a rank one Gaussian perturbation to derive a smooth stochastic approximation of the maximum eigenvalue function. We then combine this smoothing result with an optimal smooth stochastic optimiza...
Carleman Estimate for Stochastic Parabolic Equations and Inverse Stochastic Parabolic Problems
Stochastic parabolic equations Carleman estimate conditional stability inverse source problem
2011/9/22
Abstract: In this paper, we establish a global Carleman estimate for stochastic parabolic equations. Based on this estimate, we solve two inverse problems for stochastic parabolic equations. One is co...
On the Convergence of a Multi-Agent Projected Stochastic Gradient Algorithm
Multi-Agent Projected Stochastic Gradient Algorithm Optimization and Control
2011/9/5
Abstract: We introduce a new framework for the convergence analysis of a class of distributed constrained non-convex optimization algorithms in multi-agent systems. The aim is to search for local mini...
Multigrid methods for two-player zero-sum stochastic games
Multigrid methods two-player zero-sum stochastic games Optimization and Control Numerical Analysis
2011/8/30
Abstract: We develop a fast numerical algorithm for large scale zero-sum stochastic games with perfect information, which combines policy iteration and algebraic multigrid methods. This algorithm can ...
Optimal protocols and optimal transport in stochastic thermodynamics
Optimal protocols optimal transport stochastic thermodynamics
2011/3/2
Thermodynamics of small systems has become an important field of statistical physics. They
are driven out of equilibrium by a control, and the question is naturally posed how such a control can be op...
Stochastic incompleteness for graphs and weak Omori-Yau maximum principle
Dirichlet forms, graphs stochastic completeness
2010/12/6
We prove an analogue of the weak Omori-Yaumaximum principle and Khas’minskii’s criterion for graphs in the general setting of Keller and Lenz. Our approach naturally gives the stability of stochastic ...
Optimization and Convergence of Observation Channels in Stochastic Control
Stochastic control information theory observation channels optimization
2010/12/9
This paper studies the optimization of observation channels (stochastic kernels)in partially observed stochastic control problems. In particular, existence, continuity, and convexity
properties are i...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...