85,281 research outputs found
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
We present a simple and easy to implement method for the numerical solution
of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many
cases, the considered problems have only a viscosity solution, to which,
fortunately, many intuitive (e.g. finite difference based) discretisations can
be shown to converge. However, especially when using fully implicit time
stepping schemes with their desirable stability properties, one is still faced
with the considerable task of solving the resulting nonlinear discrete system.
In this paper, we introduce a penalty method which approximates the nonlinear
discrete system to first order in the penalty parameter, and we show that an
iterative scheme can be used to solve the penalised discrete problem in
finitely many steps. We include a number of examples from mathematical finance
for which the described approach yields a rigorous numerical scheme and present
numerical results.Comment: 18 Pages, 4 Figures. This updated version has a slightly more
detailed introduction. In the current form, the paper will appear in SIAM
Journal on Numerical Analysi
Multigrid methods for two-player zero-sum stochastic games
We present 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 be applied either to a true finite state
space zero-sum two player game or to the discretization of an Isaacs equation.
We present numerical tests on discretizations of Isaacs equations or
variational inequalities. We also present a full multi-level policy iteration,
similar to FMG, which allows to improve substantially the computation time for
solving some variational inequalities.Comment: 31 page
Analysis and approximation of some Shape-from-Shading models for non-Lambertian surfaces
The reconstruction of a 3D object or a scene is a classical inverse problem
in Computer Vision. In the case of a single image this is called the
Shape-from-Shading (SfS) problem and it is known to be ill-posed even in a
simplified version like the vertical light source case. A huge number of works
deals with the orthographic SfS problem based on the Lambertian reflectance
model, the most common and simplest model which leads to an eikonal type
equation when the light source is on the vertical axis. In this paper we want
to study non-Lambertian models since they are more realistic and suitable
whenever one has to deal with different kind of surfaces, rough or specular. We
will present a unified mathematical formulation of some popular orthographic
non-Lambertian models, considering vertical and oblique light directions as
well as different viewer positions. These models lead to more complex
stationary nonlinear partial differential equations of Hamilton-Jacobi type
which can be regarded as the generalization of the classical eikonal equation
corresponding to the Lambertian case. However, all the equations corresponding
to the models considered here (Oren-Nayar and Phong) have a similar structure
so we can look for weak solutions to this class in the viscosity solution
framework. Via this unified approach, we are able to develop a semi-Lagrangian
approximation scheme for the Oren-Nayar and the Phong model and to prove a
general convergence result. Numerical simulations on synthetic and real images
will illustrate the effectiveness of this approach and the main features of the
scheme, also comparing the results with previous results in the literature.Comment: Accepted version to Journal of Mathematical Imaging and Vision, 57
page
Initialization of the Shooting Method via the Hamilton-Jacobi-Bellman Approach
The aim of this paper is to investigate from the numerical point of view the
possibility of coupling the Hamilton-Jacobi-Bellman (HJB) equation and
Pontryagin's Minimum Principle (PMP) to solve some control problems. A rough
approximation of the value function computed by the HJB method is used to
obtain an initial guess for the PMP method. The advantage of our approach over
other initialization techniques (such as continuation or direct methods) is to
provide an initial guess close to the global minimum. Numerical tests involving
multiple minima, discontinuous control, singular arcs and state constraints are
considered. The CPU time for the proposed method is less than four minutes up
to dimension four, without code parallelization
Rank-Two Beamforming and Power Allocation in Multicasting Relay Networks
In this paper, we propose a novel single-group multicasting relay beamforming
scheme. We assume a source that transmits common messages via multiple
amplify-and-forward relays to multiple destinations. To increase the number of
degrees of freedom in the beamforming design, the relays process two received
signals jointly and transmit the Alamouti space-time block code over two
different beams. Furthermore, in contrast to the existing relay multicasting
scheme of the literature, we take into account the direct links from the source
to the destinations. We aim to maximize the lowest received quality-of-service
by choosing the proper relay weights and the ideal distribution of the power
resources in the network. To solve the corresponding optimization problem, we
propose an iterative algorithm which solves sequences of convex approximations
of the original non-convex optimization problem. Simulation results demonstrate
significant performance improvements of the proposed methods as compared with
the existing relay multicasting scheme of the literature and an algorithm based
on the popular semidefinite relaxation technique
The non-locality of Markov chain approximations to two-dimensional diffusions
In this short paper, we consider discrete-time Markov chains on lattices as
approximations to continuous-time diffusion processes. The approximations can
be interpreted as finite difference schemes for the generator of the process.
We derive conditions on the diffusion coefficients which permit transition
probabilities to match locally first and second moments. We derive a novel
formula which expresses how the matching becomes more difficult for larger
(absolute) correlations and strongly anisotropic processes, such that
instantaneous moves to more distant neighbours on the lattice have to be
allowed. Roughly speaking, for non-zero correlations, the distance covered in
one timestep is proportional to the ratio of volatilities in the two
directions. We discuss the implications to Markov decision processes and the
convergence analysis of approximations to Hamilton-Jacobi-Bellman equations in
the Barles-Souganidis framework.Comment: Corrected two errata from previous and journal version: definition of
R in (5) and summations in (7
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