On Minimum-Dispersion Control of Nonlinear Diffusion Processes
This work collects some methodological insights for numerical solution of a "minimum-dispersion" control problem for nonlinear stochastic differential equations, a particular relaxation of the covariance steering task. The main ingredient of our approach is the theoretical foundation calle...
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| Vydáno v: | arXiv.org |
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| Hlavní autoři: | , , , |
| Médium: | Paper |
| Jazyk: | angličtina |
| Vydáno: |
Ithaca
Cornell University Library, arXiv.org
13.05.2024
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| Témata: | |
| ISSN: | 2331-8422 |
| On-line přístup: | Získat plný text |
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| Shrnutí: | This work collects some methodological insights for numerical solution of a "minimum-dispersion" control problem for nonlinear stochastic differential equations, a particular relaxation of the covariance steering task. The main ingredient of our approach is the theoretical foundation called \(\infty\)-order variational analysis. This framework consists in establishing an exact representation of the increment (\(\infty\)-order variation) of the objective functional using the duality, implied by the transformation of the nonlinear stochastic control problem to a linear deterministic control of the Fokker-Planck equation. The resulting formula for the cost increment analytically represents a "law-feedback" control for the diffusion process. This control mechanism enables us to learn time-dependent coefficients for a predefined Markovian control structure using Monte Carlo simulations with a modest population of samples. Numerical experiments prove the vitality of our approach. |
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| Bibliografie: | SourceType-Working Papers-1 ObjectType-Working Paper/Pre-Print-1 content type line 50 |
| ISSN: | 2331-8422 |
| DOI: | 10.48550/arxiv.2405.07676 |