Higher Order Variational Integrators: a polynomial approach

We reconsider the variational derivation of symplectic partitioned Runge-Kutta schemes. Such type of variational integrators are of great importance since they integrate mechanical systems with high order accuracy while preserving the structural properties of these systems, like the symplectic form, the evolution of the momentum maps or the energy behaviour. Also they are easily applicable to optimal control problems based on mechanical systems as proposed in Ober-Bl\"obaum et al. [2011]. Following the same approach, we develop a family of variational integrators to which we refer as symplectic Galerkin schemes in contrast to symplectic partitioned Runge-Kutta. These two families of integrators are, in principle and by construction, different one from the other. Furthermore, the symplectic Galerkin family can as easily be applied in optimal control problems, for which Campos et al. [2012b] is a particular case.Comment: 12 pages, 1 table, 23rd Congress on Differential Equations and Applications, CEDYA 201

Infinite Horizon Mean-Field Linear Quadratic Optimal Control Problems with Jumps and the related Hamiltonian Systems

In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential equations with jumps are studied to support the research of the control problem. The global integrability properties of their solution processes are studied by introducing a kind of so-called dissipation conditions suitable for the systems involving the mean-field terms and jumps. For the control problem, we conclude a sufficient and necessary condition of open-loop optimal control by the variational approach. Besides, a kind of infinite horizon fully coupled linear mean-field forward-backward stochastic differential equations with jumps is studied by using the method of continuation. Such a research makes the characterization of the open-loop optimal controls more straightforward and complete.Comment: 27page

Variational Inference for SDEs Driven by Fractional Noise

We present a novel variational framework for performing inference in (neural) stochastic differential equations (SDEs) driven by Markov-approximate fractional Brownian motion (fBM). SDEs offer a versatile tool for modeling real-world continuous-time dynamic systems with inherent noise and randomness. Combining SDEs with the powerful inference capabilities of variational methods, enables the learning of representative function distributions through stochastic gradient descent. However, conventional SDEs typically assume the underlying noise to follow a Brownian motion (BM), which hinders their ability to capture long-term dependencies. In contrast, fractional Brownian motion (fBM) extends BM to encompass non-Markovian dynamics, but existing methods for inferring fBM parameters are either computationally demanding or statistically inefficient. In this paper, building upon the Markov approximation of fBM, we derive the evidence lower bound essential for efficient variational inference of posterior path measures, drawing from the well-established field of stochastic analysis. Additionally, we provide a closed-form expression to determine optimal approximation coefficients. Furthermore, we propose the use of neural networks to learn the drift, diffusion and control terms within our variational posterior, leading to the variational training of neural-SDEs. In this framework, we also optimize the Hurst index, governing the nature of our fractional noise. Beyond validation on synthetic data, we contribute a novel architecture for variational latent video prediction,-an approach that, to the best of our knowledge, enables the first variational neural-SDE application to video perception.Comment: 24 pages, under revie

A Variational Approach to Parameter Estimation in Ordinary Differential Equations

Ordinary differential equations are widely-used in the field of systems biology and chemical engineering to model chemical reaction networks. Numerous techniques have been developed to estimate parameters like rate constants, initial conditions or steady state concentrations from time-resolved data. In contrast to this countable set of parameters, the estimation of entire courses of network components corresponds to an innumerable set of parameters. The approach presented in this work is able to deal with course estimation for extrinsic system inputs or intrinsic reactants, both not being constrained by the reaction network itself. Our method is based on variational calculus which is carried out analytically to derive an augmented system of differential equations including the unconstrained components as ordinary state variables. Finally, conventional parameter estimation is applied to the augmented system resulting in a combined estimation of courses and parameters. The combined estimation approach takes the uncertainty in input courses correctly into account. This leads to precise parameter estimates and correct confidence intervals. In particular this implies that small motifs of large reaction networks can be analysed independently of the rest. By the use of variational methods, elements from control theory and statistics are combined allowing for future transfer of methods between the two fields

Optimal Feedback Control of Thermal Networks

An improved approach to the mathematical modeling of feedback control of thermal networks has been devised. Heretofore software for feedback control of thermal networks has been developed by time-consuming trial-and-error methods that depend on engineers expertise. In contrast, the present approach is a systematic means of developing algorithms for feedback control that is optimal in the sense that it combines performance with low cost of implementation. An additional advantage of the present approach is that a thermal engineer need not be expert in control theory. Thermal networks are lumped-parameter approximations used to represent complex thermal systems. Thermal networks are closely related to electrical networks commonly represented by lumped-parameter circuit diagrams. Like such electrical circuits, thermal networks are mathematically modeled by systems of differential-algebraic equations (DAEs) that is, ordinary differential equations subject to a set of algebraic constraints. In the present approach, emphasis is placed on applications in which thermal networks are subject to constant disturbances and, therefore, integral control action is necessary to obtain steady-state responses. The mathematical development of the present approach begins with the derivation of optimal integral-control laws via minimization of an appropriate cost functional that involves augmented state vectors. Subsequently, classical variational arguments provide optimality conditions in the form of the Hamiltonian equations for the standard linear-quadratic-regulator (LQR) problem. These equations are reduced to an algebraic Riccati equation (ARE) with respect to the augmented state vector. The solution of the ARE leads to the direct computation of the optimal proportional- and integral-feedback control gains. In cases of very complex networks, large numbers of state variables make it difficult to implement optimal controllers in the manner described in the preceding paragraph