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Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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DOE OSTI2015

Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps

We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each candidate-approximation converges to the solution of the original BSDEJ in a space which we specify. We use this result to investigate in further detail the consequences of the choice of the model to (partial) hedging in incomplete markets in finance. As an application, we consider models in which the small variations in the price dynamics are modeled with a Poisson random measure with infinite activity and models in which these small variations are modeled with a Brownian motion or are cut off. Using the convergence results on BSDEJs, we show that quadratic hedging strategies are robust towards the approximation of the market prices and we derive an estimation of the model risk.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2022

A backward SDE method for uncertainty quantification in deep learning

Here, we develop a backward stochastic differential equation based probabilistic machine learning method, which formulates a class of stochastic neural networks as a stochastic optimal control problem. An efficient stochastic gradient descent algorithm is introduced with the gradient computed through a backward stochastic differential equation. Convergence analysis for stochastic gradient descent optimization and numerical experiments for applications of stochastic neural networks are carried out to validate our methodology in both theory and performance.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2015

A Semi-linear Backward Parabolic Cauchy Problem with Unbounded Coefficients of Hamilton–Jacobi–Bellman Type and Applications to Optimal Control

We obtain weighted uniform estimates for the gradient of the solutions to a class of linear parabolic Cauchy problems with unbounded coefficients. Such estimates are then used to prove existence and uniqueness of the mild solution to a semi-linear backward parabolic Cauchy problem, where the differential equation is the Hamilton–Jacobi–Bellman equation of a suitable optimal control problem. Via backward stochastic differential equations, we show that the mild solution is indeed the value function of the controlled equation and that the feedback law is verified.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2018

Solving high-dimensional partial differential equations using deep learning

Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the “curse of dimensionality.” This paper introduces a deep learning-based approach that can handle general high-dimensional parabolic PDEs. To this end, the PDEs are reformulated using backward stochastic differential equations and the gradient of the unknown solution is approximated by neural networks, very much in the spirit of deep reinforcement learning with the gradient acting as the policy function. Numerical results on examples including the nonlinear Black–Scholes equation, the Hamilton–Jacobi–Bellman equation, and the Allen–Cahn equation suggest that the proposed algorithm is quite effective in high dimensions, in terms of both accuracy and cost. Furthermore, this opens up possibilities in economics, finance, operational research, and physics, by considering all participating agents, assets, resources, or particles together at the same time, instead of making ad hoc assumptions on their interrelationships.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2022

Kernel learning backward SDE filter for data assimilation

In this paper, we develop a kernel learning backward SDE filter method to estimate the state of a stochastic dynamical system based on its partial noisy observations. A system of forward backward stochastic differential equations is used to propagate the state of the target dynamical model, and Bayesian inference is applied to incorporate the observational information. Further, to characterize the dynamical model in the entire state space, we introduce a kernel learning method to learn a continuous global approximation for the conditional probability density function of the target state by using discrete approximated density values as training data. Numerical experiments demonstrate that the kernel learning backward SDE is highly effective.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2020

A Stochastic Gradient Descent Approach for Stochastic Optimal Control

In this work, we introduce a stochastic gradient descent approach to solve the stochastic optimal control problem through stochastic maximum principle. The motivation that drives our method is the gradient of the cost functional in the stochastic optimal control problem is under expectation, and numerical calculation of such an expectation requires fully computation of a system of forward backward stochastic differential equations, which is computationally expensive. By evaluating the expectation with single-sample representation as suggested by the stochastic gradient descent type optimisation, we could save computational efforts in solving FBSDEs and only focus on the optimisation task which aims to determine the optimal control process.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

A backward Monte-Carlo method for time-dependent runaway electron simulations

Kinetic descriptions of runaway electrons (REs) are usually based on Fokker-Planck models that determine the probability distribution function of REs in 2-dimensional momentum space. Despite the simplification involved, the Fokker-Planck equation can rarely be solved analytically and direct numerical approaches [e.g., continuum and particle-based Monte Carlo (MC)] can be time consuming, especially in the computation of asymptotic-type observables including the runaway probability, the slowing-down and runaway mean times, and the energy limit probability. In this study, we present a novel backward MC approach to these problems based on backward stochastic differential equations that describe the dynamics of the runaway probability by means of the Feynman-Kac theory. The key ingredient of the backward MC algorithm is to place all the particles in a runaway state and simulate them backward from the terminal time to the initial time. As such, our approach can provide much faster convergence than direct MC methods (by significantly reducing the number of particles required to achieve a prescribed accuracy) while at the same time maintaining the advantages of particle-based methods (compared to continuum approaches). The proposed algorithm is unconditionally stable and can be parallelized as easy as the direct MC method, and its extension to dimensions higher than two is straightforward, thus paving the way for conducting large-scale RE simulation.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗
DOE OSTI2015

Robust Utility Maximization Under Convex Portfolio Constraints

We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption–investment strategy by studying the associated quadratic backward stochastic differential equation. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2015

Stochastic Differential Games for Fully Coupled FBSDEs with Jumps

This paper is concerned with stochastic differential games (SDGs) defined through fully coupled forward-backward stochastic differential equations (FBSDEs) which are governed by Brownian motion and Poisson random measure. The upper and the lower value functions are defined by the doubly controlled fully coupled FBSDEs with jumps. Using a new transformation introduced in Buchdahn (Stocha Process Appl 121:2715–2750, 2011), we prove that the upper and the lower value functions are deterministic. Then, after establishing the dynamic programming principle for the upper and the lower value functions of this SDGs, we prove that the upper and the lower value functions are the viscosity solutions to the associated upper and the lower second order integral-partial differential equations of Isaacs’ type combined with an algebraic equation, respectively. Furthermore, for a special case (when σ and h do not depend on (y,z,k)), under the Isaacs’ condition, we get the existence of the value of the game.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

The Early Exercise Premium Representation for American Options on Multiply Assets

In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples include index options, spread options, call on max options, put on min options, multiply strike options and power-product options. In the proof of the formula we exploit close connections between the optimal stopping problems associated with valuation of American options, obstacle problems and reflected backward stochastic differential equations.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2018

Systems of Semilinear Parabolic Variational Inequalities with Time-Dependent Convex Obstacles

We consider a system of seminlinear parabolic variational inequalities with time-dependent convex obstacles. We prove the existence and uniqueness of its solution. We also provide a stochastic representation of the solution and show that it can be approximated by the penalization method. Our proofs are based upon probabilistic methods from the theory of Markov processes and the theory of backward stochastic differential equations.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2025

Assimilating partial observation to enhance feedback control of stochastic dynamical systems

Here, in this paper, we present a novel methodology to tackle feedback optimal control problems in scenarios where the exact state of the controlled process is unknown. It integrates data assimilation techniques and optimal control solvers to manage partial observation of the state process, a common occurrence in practical scenarios. Traditional stochastic optimal control methods assume full state observation, which is often not feasible in real-world fluid dynamics control problems. Our approach underscores the significance of utilizing observational data to inform control policy design. Specifically, we introduce a kernel learning backward stochastic differential equation (SDE) filter to enhance data assimilation efficiency and propose a sample-wise stochastic optimization method within the stochastic maximum principle framework. We demonstrate the efficacy and accuracy of our method in the control of advection-diffusion-reaction flow problem and the Dubins airplane maneuvering problem with model uncertainty.

data driven↗
DOE OSTI2022

Stochastic Modeling in a Multimaterial Continuum Mixture Shock Physics Code

Stochastic modelling approaches are presented to capture random effects at multiple time and length scales. Random processes that occur at the microscale produce nondeterministic effects at the macroscale. Here we present three stochastic modeling approaches that describe random processes at microscopic length scales and map these processes to the macroscopic length scale. The first stochastic modeling approach is based upon a particle based numerical technique to solve a Stochastic Differential Equation (SDE) using an arbitrary diffusion process to capture random processes at the microstructural level. The second approach prescribes a Probability Density Function (PDF) for the drift and diffusion of the random variable derived using the forward and backward Kolmogorov equations. This method requires mean and drift evolution PDF transport equations. The third approach is the coupling of multiple random variables which are dependent on each other. The relationship of the PDFs and a coupling function, known as a copula, produces a Joint Probability Density Function (JPDF). These stochastic modeling approaches are implemented into a Multiple Component (MC) shock physics computational code and used to model statistical fracture and reactive flow applications.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2023

Learning effective stochastic differential equations from microscopic simulations: Linking stochastic numerics to deep learning

We identify effective stochastic differential equations (SDEs) for coarse observables of fine-grained particle- or agent-based simulations; these SDEs then provide useful coarse surrogate models of the fine scale dynamics. We approximate the drift and diffusivity functions in these effective SDEs through neural networks, which can be thought of as effective stochastic ResNets. The loss function is inspired by, and embodies, the structure of established stochastic numerical integrators (here, Euler–Maruyama and Milstein); our approximations can thus benefit from backward error analysis of these underlying numerical schemes. They also lend themselves naturally to “physics-informed” gray-box identification when approximate coarse models, such as mean field equations, are available. Existing numerical integration schemes for Langevin-type equations and for stochastic partial differential equations can also be used for training; we demonstrate this on a stochastically forced oscillator and the stochastic wave equation. Our approach does not require long trajectories, works on scattered snapshot data, and is designed to naturally handle different time steps per snapshot. We consider both the case where the coarse collective observables are known in advance, as well as the case where they must be found in a data-driven manner.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

DOUBLE POWER LAWS IN THE EVENT-INTEGRATED SOLAR ENERGETIC PARTICLE SPECTRUM

A double power law or a power law with exponential rollover at a few to tens of MeV nucleon{sup −1} of the event-integrated differential spectra has been reported in many solar energetic particle (SEP) events. The rollover energies per nucleon of different elements correlate with a particle's charge-to-mass ratio (Q/A). The probable causes are suggested as residing in shock finite lifetimes, shock finite sizes, shock geometry, and an adiabatic cooling effect. In this work, we conduct a numerical simulation to investigate a particle's transport process in the inner heliosphere. We solve the focused transport equation using a time-backward Markov stochastic approach. The convection, magnetic focusing, adiabatic cooling effect, and pitch-angle scattering are included. The effects that the interplanetary turbulence imposes on the shape of the resulting SEP spectra are examined. By assuming a pure power-law differential spectrum at the Sun, a perfect double-power-law feature with a break energy ranging from 10 to 120 MeV nucleon{sup −1} is obtained at 1 au. We found that the double power law of the differential energy spectrum is a robust result of SEP interplanetary propagation. It works for many assumptions of interplanetary turbulence spectra that give various forms of momentum dependence of a particle's mean free path. The different spectral shapes in low-energy and high-energy ends are not just a transition from the convection-dominated propagation to diffusion-dominated propagation.

79 ASTRONOMY AND ASTROPHYSICS↗
DOE OSTI2018

Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by G-Brownian motion

There are few numerical analysis results for nonlinear neutral stochastic delay differential equations driven by G-Brownian motion (G-NSDDEs). This paper is concerned with the numerical solutions of the G-NSDDEs to fill this gap. In this paper, we first devote to show that the stochastic theta numerical solution converges to the exact solution for the G-NSDDE. We then prove that the backward Euler–Maruyama numerical solution for the G-NSDDE is asymptotically mean-square stable under suitable conditions. Moreover, a numerical example is demonstrated to illustrate the effectiveness of our obtained results.

97 MATHEMATICS AND COMPUTING↗