46 citations · 284 across the 22 of their papers we have counts for
7 papers · 1 filter
A Multilevel Approach for Stochastic Nonlinear Optimal Control
Ajay Jasra, Jeremy Heng, Yaxian Xu +1
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This f…
An explicit Floquet-type representation of Riccati aperiodic exponential semigroups
Adrian N. Bishop, Pierre Del Moral
The article presents a rather surprising Floquet-type representation of time-varying transition matrices associated with a class of nonlinear matrix differential Riccati equations.…
On the Stability of Kalman-Bucy Diffusion Processes
Adrian N. Bishop, Pierre Del Moral
The Kalman-Bucy filter is the optimal state estimator for an Ornstein-Uhlenbeck diffusion given that the system is partially observed via a linear diffusion-type (noisy) sensor. Un…
Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation
Francesco Bertoli, Adrian N. Bishop
This work considers the stability of nonlinear stochastic receding horizon control when the optimal controller is only computed approximately. A number of general classes of contro…
Reducing the Bias in Blocked Particle Filtering for High-Dimensional Systems
Francesco Bertoli, Adrian N. Bishop
Particle filtering is a powerful approximation method that applies to state estimation in nonlinear and non-Gaussian dynamical state-space models. Unfortunately, the approximation…
Adaptively Blocked Particle Filtering with Spatial Smoothing in Large-Scale Dynamic Random Fields
Francesco Bertoli, Adrian N. Bishop
The typical particle filtering approximation error is exponentially dependent on the dimension of the model. Therefore, to control this error, an enormous number of particles are r…
Network Consensus in the Wasserstein Metric Space of Probability Measures
Adrian N. Bishop, Arnaud Doucet
Distributed consensus in the Wasserstein metric space of probability measures on the real line is introduced in this work. Convergence of each agent's measure to a common measure i…