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Price decomposition in large-scale stochastic optimal control
Stochastic optimal control Decomposition methods
2011/1/20
We are interested in optimally driving a dynamical system that can be influenced by exogenous noises. This is generally called a Stochastic Optimal Control (SOC) problem and the Dynamic Programming (D...
A Khintchine Decomposition for Free Probability
Khintchine Decomposition Free Probability
2010/12/13
Let μ be a probability measure on the real line. In this paper we prove that there exists a decomposition μ = μ0 ⊞μ1 ⊞· · ·⊞μn ⊞· · · such that μ0 is infinitely divisible and μ...
A thin-thick Decomposition for Hardy Martingales
Hardy Martingales Martingale Inequalities Complex Convexity
2010/12/8
We prove thin-thick decompositions, for the class of Hardy martingales and thereby strenghten its square function characterization. We apply the underlying method to several classical martinale inequa...
This paper discusses the optimal preconditioning in the domain
decomposition method for Wilson element. The process of the
preconditioning is composed of the resolution of a small scale global
prob...
OPTIMAL COARSE GRID SIZE IN DOMAIN DECOMPOSITION
optimal coarse grid size in domain decomposition
2007/12/10
In most domain decomposition (DD) methods, a coarse grid solve is employed to provide the global coupling required to produce an optimal method. The total cost of a method can depend sensitively on th...