Optimal Transportation Problem By Stochastic Optimal Control
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Optimal Transportation Problem By Stochastic Optimal Control
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Author :
language : en
Publisher:
Release Date : 2005
Optimal Transportation Problem By Stochastic Optimal Control written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Stochastic Optimal Transportation
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Author : Toshio Mikami
language : en
Publisher: Springer Nature
Release Date : 2021-06-15
Stochastic Optimal Transportation written by Toshio Mikami and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-15 with Mathematics categories.
In this book, the optimal transportation problem (OT) is described as a variational problem for absolutely continuous stochastic processes with fixed initial and terminal distributions. Also described is Schrödinger’s problem, which is originally a variational problem for one-step random walks with fixed initial and terminal distributions. The stochastic optimal transportation problem (SOT) is then introduced as a generalization of the OT, i.e., as a variational problem for semimartingales with fixed initial and terminal distributions. An interpretation of the SOT is also stated as a generalization of Schrödinger’s problem. After the brief introduction above, the fundamental results on the SOT are described: duality theorem, a sufficient condition for the problem to be finite, forward–backward stochastic differential equations (SDE) for the minimizer, and so on. The recent development of the superposition principle plays a crucial role in the SOT. A systematic method is introduced to consider two problems: one with fixed initial and terminal distributions and one with fixed marginal distributions for all times. By the zero-noise limit of the SOT, the probabilistic proofs to Monge’s problem with a quadratic cost and the duality theorem for the OT are described. Also described are the Lipschitz continuity and the semiconcavity of Schrödinger’s problem in marginal distributions and random variables with given marginals, respectively. As well, there is an explanation of the regularity result for the solution to Schrödinger’s functional equation when the space of Borel probability measures is endowed with a strong or a weak topology, and it is shown that Schrödinger’s problem can be considered a class of mean field games. The construction of stochastic processes with given marginals, called the marginal problem for stochastic processes, is discussed as an application of the SOT and the OT.
Optimal Transport
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Author : Cédric Villani
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-26
Optimal Transport written by Cédric Villani and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-26 with Mathematics categories.
At the close of the 1980s, the independent contributions of Yann Brenier, Mike Cullen and John Mather launched a revolution in the venerable field of optimal transport founded by G. Monge in the 18th century, which has made breathtaking forays into various other domains of mathematics ever since. The author presents a broad overview of this area, supplying complete and self-contained proofs of all the fundamental results of the theory of optimal transport at the appropriate level of generality. Thus, the book encompasses the broad spectrum ranging from basic theory to the most recent research results. PhD students or researchers can read the entire book without any prior knowledge of the field. A comprehensive bibliography with notes that extensively discuss the existing literature underlines the book’s value as a most welcome reference text on this subject.
Optimal Transportation Problem By Stochastic Optimal Control
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Author : Toshio Mikami
language : en
Publisher:
Release Date : 2005
Optimal Transportation Problem By Stochastic Optimal Control written by Toshio Mikami and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Geometric Science Of Information
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Author : Frank Nielsen
language : en
Publisher: Springer
Release Date : 2015-10-24
Geometric Science Of Information written by Frank Nielsen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-24 with Computers categories.
This book constitutes the refereed proceedings of the Second International Conference on Geometric Science of Information, GSI 2015, held in Palaiseau, France, in October 2015. The 80 full papers presented were carefully reviewed and selected from 110 submissions and are organized into the following thematic sessions: Dimension reduction on Riemannian manifolds; optimal transport; optimal transport and applications in imagery/statistics; shape space and diffeomorphic mappings; random geometry/homology; Hessian information geometry; topological forms and Information; information geometry optimization; information geometry in image analysis; divergence geometry; optimization on manifold; Lie groups and geometric mechanics/thermodynamics; computational information geometry; Lie groups: novel statistical and computational frontiers; geometry of time series and linear dynamical systems; and Bayesian and information geometry for inverse problems.
Selected Papers On Probability And Statistics
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Author :
language : en
Publisher: American Mathematical Soc.
Release Date : 2009
Selected Papers On Probability And Statistics written by and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Mathematics categories.
This volume contains translations of papers that originally appeared in the Japanese journal Sugaku. The papers range over a variety of topics in probability theory, statistics, and applications. This volume is suitable for graduate students and research mathematicians interested in probability and statistics.
Probabilistic Theory Of Mean Field Games With Applications I
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Author : René Carmona
language : en
Publisher: Springer
Release Date : 2018-03-01
Probabilistic Theory Of Mean Field Games With Applications I written by René Carmona and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-01 with Mathematics categories.
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic mean field control problems. Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.
Scientific And Technical Aerospace Reports
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Author :
language : en
Publisher:
Release Date : 1991
Scientific And Technical Aerospace Reports written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Aeronautics categories.
Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
Encyclopedia Of Optimization
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Author : Christodoulos A. Floudas
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-04
Encyclopedia Of Optimization written by Christodoulos A. Floudas and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-04 with Mathematics categories.
The goal of the Encyclopedia of Optimization is to introduce the reader to a complete set of topics that show the spectrum of research, the richness of ideas, and the breadth of applications that has come from this field. The second edition builds on the success of the former edition with more than 150 completely new entries, designed to ensure that the reference addresses recent areas where optimization theories and techniques have advanced. Particularly heavy attention resulted in health science and transportation, with entries such as "Algorithms for Genomics", "Optimization and Radiotherapy Treatment Design", and "Crew Scheduling".
Reinforcement Learning And Stochastic Optimization
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Author : Warren B. Powell
language : en
Publisher: John Wiley & Sons
Release Date : 2022-03-15
Reinforcement Learning And Stochastic Optimization written by Warren B. Powell and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-15 with Mathematics categories.
REINFORCEMENT LEARNING AND STOCHASTIC OPTIMIZATION Clearing the jungle of stochastic optimization Sequential decision problems, which consist of “decision, information, decision, information,” are ubiquitous, spanning virtually every human activity ranging from business applications, health (personal and public health, and medical decision making), energy, the sciences, all fields of engineering, finance, and e-commerce. The diversity of applications attracted the attention of at least 15 distinct fields of research, using eight distinct notational systems which produced a vast array of analytical tools. A byproduct is that powerful tools developed in one community may be unknown to other communities. Reinforcement Learning and Stochastic Optimization offers a single canonical framework that can model any sequential decision problem using five core components: state variables, decision variables, exogenous information variables, transition function, and objective function. This book highlights twelve types of uncertainty that might enter any model and pulls together the diverse set of methods for making decisions, known as policies, into four fundamental classes that span every method suggested in the academic literature or used in practice. Reinforcement Learning and Stochastic Optimization is the first book to provide a balanced treatment of the different methods for modeling and solving sequential decision problems, following the style used by most books on machine learning, optimization, and simulation. The presentation is designed for readers with a course in probability and statistics, and an interest in modeling and applications. Linear programming is occasionally used for specific problem classes. The book is designed for readers who are new to the field, as well as those with some background in optimization under uncertainty. Throughout this book, readers will find references to over 100 different applications, spanning pure learning problems, dynamic resource allocation problems, general state-dependent problems, and hybrid learning/resource allocation problems such as those that arose in the COVID pandemic. There are 370 exercises, organized into seven groups, ranging from review questions, modeling, computation, problem solving, theory, programming exercises and a "diary problem" that a reader chooses at the beginning of the book, and which is used as a basis for questions throughout the rest of the book.