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arXiv 2101.06009math.OC
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随机过程的矩-SOS族与退出时

Moment-SOS hierarchy and exit time of stochastic processes

Didier Henrion, Mauricio Junca, Mauricio Velasco

摘要:

矩平方和(moment sum of squares,Moment SOS)方法给出了多项式约束下的多项式随机微分方程的解的泛函的下界序列,代价是求解规模不断增大的半定最优化问题.在本文中,我们使用椭圆偏微分方程分析的标准结果来证明由该族产生的界的收敛性。我们还使用初等凸分析来描述一个上,下解的解释对偶的线性制定占领措施。的层次结构的实际意义与数值例子说明。

英文摘要:

The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equation with polynomial constraints, at the price of solving semidefinite optimization problems of increasing size. In this note we use standard results from elliptic partial differential equation analysis to prove convergence of the bounds produced by the hierarchy. We also use elementary convex analysis to describe a super- and sub-solution interpretation dual to a linear formulation on occupation measures. The practical relevance of the hierarchy is illustrated with numerical examples.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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