Search results for "Order condition"
showing 4 items of 4 documents
NUMERICAL ALGORITHMS
2013
For many systems of differential equations modeling problems in science and engineering, there are natural splittings of the right hand side into two parts, one non-stiff or mildly stiff, and the other one stiff. For such systems implicit-explicit (IMEX) integration combines an explicit scheme for the non-stiff part with an implicit scheme for the stiff part. In a recent series of papers two of the authors (Sandu and Zhang) have developed IMEX GLMs, a family of implicit-explicit schemes based on general linear methods. It has been shown that, due to their high stage order, IMEX GLMs require no additional coupling order conditions, and are not marred by order reduction. This work develops a …
Geometric optimal control : homotopic methods and applications
2012
This work is about geometric optimal control applied to celestial and quantum mechanics. We first dealt with the minimum fuel consumption problem of transfering a satellite around the Earth. This brought to the creation of the code HamPath which permits first of all to solve optimal control problem for which the command law is smooth. It is based on the Pontryagin Maximum Principle (PMP) and on the notion of conjugate point. This program combines shooting method, differential homotopic methods and tools to compute second order optimality conditions. Then we are interested in quantum control. We study first a system which consists in two different particles of spin 1/2 having two different r…
Establishing some order amongst exact approximations of MCMCs
2016
Exact approximations of Markov chain Monte Carlo (MCMC) algorithms are a general emerging class of sampling algorithms. One of the main ideas behind exact approximations consists of replacing intractable quantities required to run standard MCMC algorithms, such as the target probability density in a Metropolis-Hastings algorithm, with estimators. Perhaps surprisingly, such approximations lead to powerful algorithms which are exact in the sense that they are guaranteed to have correct limiting distributions. In this paper we discover a general framework which allows one to compare, or order, performance measures of two implementations of such algorithms. In particular, we establish an order …
Continuous optimal control sensitivity analysis with AD
2000
In order to apply a parametric method to a minimum time control problem in celestial mechanics, a sensitivity analysis is performed. The analysis is continuous in the sense that it is done in the infinite dimensional control setting. The resulting sufficient second order condition is evaluated by means of automatic differentiation, while the associated sensitivity derivative is computed by continuous reverse differentiation. The numerical results are given for several examples of orbit transfer, also illustrating the advantages of automatic differentiation over finite differences for the computation of gradients on the discretized problem.