22 citations · 22 across the 2 of their papers we have counts for
5 papers
Reachability Analysis of Randomly Perturbed Hamiltonian Systems
Carsten Hartmann, Lara Neureither, Markus Strehlau
In this paper, we revisit energy-based concepts of controllability and reformulate them for control-affine nonlinear systems perturbed by white noise. Specifically, we discuss the…
Coarse-graining of non-reversible stochastic differential equations: quantitative results and connections to averaging
Carsten Hartmann, Lara Neureither, Upanshu Sharma
This work is concerned with model reduction of stochastic differential equations and builds on the idea of replacing drift and noise coefficients of preselected relevant, e.g. slow…
Variational approach to rare event simulation using least-squares regression
Carsten Hartmann, Omar Kebiri, Lara Neureither +1
We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a diffusion. The scheme is based on a Gibbs variational…
Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems
Omar Kebiri, Lara Neureither, Carsten Hartmann
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fa…
Adaptive importance sampling with forward-backward stochastic differential equations
Omar Kebiri, Lara Neureither, Carsten Hartmann
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on p…