Stochastic optimal control

H. J. Kushner has obtained the differential equation satisfied by the optimal feedback control law for a stochastic control system in which the plant dynamics and observations are perturbed by independent additive Gaussian white noise processes. However, the differentiation includes the first and second functional derivatives and, except for a restricted set of systems, is too complex to solve with present techniques.

This investigation studies the optimal control law for the open loop system and incorporates it in a sub-optimal feedback control law. This suboptimal control law's performance is at least as good as that of the optimal control function and satisfies a differential equation involving only the first functional derivative. The solution of this equation is equivalent to solving two two-point boundary valued integro-partial differential equations. An approximate solution has advantages over the conventional approximate solution of Kushner's equation.

As a result of this study, well known results of deterministic optimal control are deduced from the analysis of optimal open loop control.

Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints

In this work we extend to the multistage case two recent risk averse measures for two-stage stochastic programs based on first- and second-order stochastic dominance constraints induced by mixed-integer linear recourse. Additionally, we consider Time Stochastic Dominance (TSD) along a given horizon. Given the dimensions of medium-sized problems augmented by the new variables and constraints required by those risk measures, it is unrealistic to solve the problem up to optimality by plain use of MIP solvers in a reasonable computing time, at least. Instead of it, decomposition algorithms of some type should be used. We present an extension of our Branch-and-Fix Coordination algorithm, so named BFC-TSD, where a special treatment is given to cross scenario group constraints that link variables from different scenario groups. A broad computational experience is presented by comparing the risk neutral approach and the tested risk averse strategies. The performance of the new version of the BFC algorithm versus the plain use of a state-of-the-artMIP solver is also reported.

Simple ABCD matrix method for evaluating optical coupling system of laser diode to single-mode fiber with a lensed-tip

In this paper, we present a simple technique to determine the coupling efficiency between a laser diode and a lensed-tip based on the ABCD transformation matrix method. We have compared our analysis technique to that of previous work and have found that the presented method is reliable in predicting the coupling efficiency of lensed-tip and has the advantage of simplicity of coupling efficiency calculation even by a pocket calculator. The results can be useful for designing coupling optics. (c) 2005 Elsevier GmbH. All rights reserved.

Anisotropic-source-induced changes of the degree of polarization of stochastic electromagnetic beams on propagation

It is shown that stochastic electromagnetic beams may have different degrees of polarization on propagation, even though they have the same coherence properties in the source plane. This fact is due to a possible difference in the anisotropy of the field in the source plane. The result is illustrated by some examples.

Effects of coherence on anisotropic electromagnetic Gaussian-Schell model beams on propagation

An analytical formula for the cross-spectral density matrix of the electric field of anisotropic electromagnetic Gaussian-Schell model beams propagating in free space is derived by using a tensor method. The effects of coherence on those beams are studied. It is shown that two anisotropic stochastic electromagnetic beams that propagate from the source plane z = 0 into the half-space z > 0 may have different beam shapes (i.e., spectral density) and states of polarization in the half-space, even though they have the same beam shape and states of polarization in the source plane. This fact is due to a difference in the coherence properties of the field in the source plane. (C) 2007 Optical Society of America.

DEVELOPMENT AND APPLICATIONS OF TIME-DEPENDENT DENSITY MATRIX FUNCTIONAL THEORY

En esta tesis estudiamos las teorías sobre la Matriz Densidad Reducida (MDR) como un marco prometedor. Nos enfocamos sobre esta teorías desde dos aspectos: Primero, usamos algunos modelos sencillos hechos con dos partículas las cuales estan armónicamente confinadas como una base para ilustrar la utilidad de la matriz densidad. Para tales sistemas, usamos la MDR de un cuerpo para calcular algunas cantidades de interés tales como densidad de momentum. Posteriormente obtenemos los orbitales naturales y su número de ocupación para algunos de los modelos, y en uno de los casos expresamos la MDR de dos cuerpos de manera exacta en términos de la MDR de un cuerpo. También usamos el teorema diferencial del virial para establecer una descripción unificada de la familia entera de estos sistemas modelo en términos de la densidad. En la seguna parte cambiamos a casos fuera del equilibrio y analizamos la así llamada jerarquía BBGKY de ecuaciones para describir la evolución temporal de un sistema de muchos cuerpos en términos de sus MDRs (a todos los órdenes). Proveemos un exhaustivo estudio de los desafíos y problemas abiertos ligados a la truncación de tales jerarquías de ecuaciones para hacerlas aplicables. Restringimos nuestro análisis a la evolución acoplada de la MDR de uno y dos cuerpos, donde los efectos de correlación de alto orden estan embebidos dentro de la aproximación usada para cerrar las ecuaciones. Probamos que dentro de esta aproximación, el número de electrones y la energía total se conservan, sin importar la aproximación usada. Luego, demostramos que aplicando los esquemas de truncación de estado base para llevar los electrones a comportamientos indeseables y no físicos, tales como la violación e incluso la divergencia en la densidad electrónica local, tanto en regímenes correlacionados débiles y fuertes.