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2016 International Conference on High Performance Computing and Simulation, HPCS 2016(1)
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scopus(23)
An efficient SPDE approach for El Niño
ArticleAbstract: We consider the numerical approximation of stochastic partial differential equations (SPDEs) based mPalabras claves:Differential Lyapunov equations, Differential matrix equations, El Niño simulations, Stochastic differential equations, Stochastic Galerkin methodsAutores:Hermann Mena, Lena Maria PfurtschellerFuentes:scopusAnalysis of krylov subspace approximation to large-scale differential riccati equations
ArticleAbstract: We consider a Krylov subspace approximation method for the symmetric differential Riccati equation XPalabras claves:Differential Riccati equations, Exponential integrators, Krylov subspace methods, Large-scale ordinary differential equations, Low-rank approximation, LQR optimal control problems, Matrix exponential, Model order reductionAutores:Hermann Mena, Koskela A.Fuentes:scopusA Numerical Approximation Framework for the Stochastic Linear Quadratic Regulator on Hilbert Spaces
ArticleAbstract: We present an approximation framework for computing the solution of the stochastic linear quadraticPalabras claves:Approximation schemes, feedback control, Riccati equations, Stochastic linear quadratic regulator problemsAutores:Hermann Mena, Levajkovic T., Tuffaha A.Fuentes:scopusA splitting/polynomial chaos expansion approach for stochastic evolution equations
ArticleAbstract: In this paper, we combine deterministic splitting methods with a polynomial chaos expansion method fPalabras claves:Analytic semigroups, Fourier–Legendre polynomials, Polynomial chaos expansion, Resolvent splitting, splitting methods, Wiener–Legendre expansionAutores:Hermann Mena, Kofler A., Levajkovic T., Ostermann A.Fuentes:scopusApplications and Numerical Approximation
Book PartAbstract: In this chapter we present applications of the chaos expansion method in optimal control and stochasPalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopusAccelerating the resolution of generalized Lyapunov matrix equations on hybrid architectures
Conference ObjectAbstract: Generalized Lyapunov equations play an important role in bilinear model order reduction and linear sPalabras claves:generalized Lyapunov matrix equations, graphics processors, matrix inverse, matrix sign function, multi-core processorsAutores:Bayá R., Decia I., Ezzatti P., Hermann MenaFuentes:scopusFourier-splitting method for solving hyperbolic LQR problems
ArticleAbstract: We consider the numerical approximation to linear quadratic regulator problems for hyperbolic partiaPalabras claves:Fourier method, Hyperbolic LQR problem, Numerical solution, Operator splitting method, Optimal feedback controlAutores:Csomós P., Hermann MenaFuentes:scopusGeneralized Operators of Malliavin Calculus
Book PartAbstract: In this chapter we extend Malliavin calculus from the classical finite variance setting to generalizPalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopusEquations Involving Mallivin Calculus Operators
Book PartAbstract: This chapter is devoted to the study of several classes of stochastic equations involving generalizePalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopusEquations involving malliavin derivative: A chaos expansion approach
Book PartAbstract: We study equations involving the Malliavin derivative operator and the Wick product with a GaussianPalabras claves:Chaos expansion, Galerkin method, Generalized stochastic process, Malliavin derivative, Stochastic differential equation, Wick productAutores:Hermann Mena, Levajkovic T.Fuentes:scopus