Search results for "Mathematics - Optimization and Control"

showing 2 items of 52 documents

Multi-marginal entropy-transport with repulsive cost

2020

In this paper we study theoretical properties of the entropy-transport functional with repulsive cost functions. We provide sufficient conditions for the existence of a minimizer in a class of metric spaces and prove the $\Gamma$-convergence of the entropy-transport functional to a multi-marginal optimal transport problem with a repulsive cost. We also prove the entropy-regularized version of the Kantorovich duality.

osittaisdifferentiaaliyhtälötPure mathematicsApplied Mathematics010102 general mathematicsMathematicsofComputing_NUMERICALANALYSISA domainFOS: Physical sciencesMathematical Physics (math-ph)matemaattinen optimointi01 natural sciences010101 applied mathematicsMetric spaceMathematics - Analysis of PDEsOptimization and Control (math.OC)FOS: MathematicsEntropy (information theory)0101 mathematicsMathematics - Optimization and ControlMathematical PhysicsAnalysisAnalysis of PDEs (math.AP)MathematicsCalculus of Variations and Partial Differential Equations
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Regularity for nonlinear stochastic games

2015

We establish regularity for functions satisfying a dynamic programming equation, which may arise for example from stochastic games or discretization schemes. Our results can also be utilized in obtaining regularity and existence results for the corresponding partial differential equations. peerReviewed

viscosity solutionsDiscretization01 natural sciencesMathematics - Analysis of PDEsBellman equationComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATIONFOS: MathematicsApplied mathematicstug-of-war0101 mathematicsMathematics - Optimization and ControlMathematical PhysicsMathematicsstokastiset prosessitPartial differential equationApplied Mathematics91A15 35J92 35B65 35J60 49N60010102 general mathematicsta111dynamic programming principletug-of-war with noise with space dependent probabilities010101 applied mathematicsNonlinear systemOptimization and Control (math.OC)p-LaplaceAnalysisAnalysis of PDEs (math.AP)
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