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## Post-edited  Numerical methods for mean field games - Lecture 2: Monotone finite difference schemes Achdou, Yves (Auteur de la Conférence) | CIRM (Editeur )

Recently, an important research activity on mean field games (MFGs for short) has been initiated by the pioneering works of Lasry and Lions: it aims at studying the asymptotic behavior of stochastic differential games (Nash equilibria) as the number $n$ of agents tends to infinity. The field is now rapidly growing in several directions, including stochastic optimal control, analysis of PDEs, calculus of variations, numerical analysis and computing, and the potential applications to economics and social sciences are numerous.
In the limit when $n \to +\infty$, a given agent feels the presence of the others through the statistical distribution of the states. Assuming that the perturbations of a single agent's strategy does not influence the statistical states distribution, the latter acts as a parameter in the control problem to be solved by each agent. When the dynamics of the agents are independent stochastic processes, MFGs naturally lead to a coupled system of two partial differential equations (PDEs for short), a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation.
The latter system of PDEs has closed form solutions in very few cases only. Therefore, numerical simulation are crucial in order to address applications. The present mini-course will be devoted to numerical methods that can be used to approximate the systems of PDEs.
The numerical schemes that will be presented rely basically on monotone approximations of the Hamiltonian and on a suitable weak formulation of the Fokker-Planck equation.
These schemes have several important features:

- The discrete problem has the same structure as the continous one, so existence, energy estimates, and possibly uniqueness can be obtained with the same kind of arguments

- Monotonicity guarantees the stability of the scheme: it is robust in the deterministic limit

- convergence to classical or weak solutions can be proved

Finally, there are particular cases named variational MFGS in which the system of PDEs can be seen as the optimality conditions of some optimal control problem driven by a PDE. In such cases, augmented Lagrangian methods can be used for solving the discrete nonlinear system. The mini-course will be orgamized as follows

1. Introduction to the system of PDEs and its interpretation. Uniqueness of classical solutions.

2. Monotone finite difference schemes

3. Examples of applications

4. Variational MFG and related algorithms for solving the discrete system of nonlinear equations
Recently, an important research activity on mean field games (MFGs for short) has been initiated by the pioneering works of Lasry and Lions: it aims at studying the asymptotic behavior of stochastic differential games (Nash equilibria) as the number $n$ of agents tends to infinity. The field is now rapidly growing in several directions, including stochastic optimal control, analysis of PDEs, calculus of variations, numerical analysis and ...

## Post-edited  ADMM in imaging inverse problems: some history and recent advances Figueiredo, Mário (Auteur de la Conférence) | CIRM (Editeur )

The alternating direction method of multipliers (ADMM) is an optimization tool of choice for several imaging inverse problems, namely due its flexibility, modularity, and efficiency. In this talk, I will begin by reviewing our earlier work on using ADMM to deal with classical problems such as deconvolution, inpainting, compressive imaging, and how we have exploited its flexibility to deal with different noise models, including Gaussian, Poissonian, and multiplicative, and with several types of regularizers (TV, frame-based analysis, synthesis, or combinations thereof). I will then describe more recent work on using ADMM for other problems, namely blind deconvolution and image segmentation, as well as very recent work where ADMM is used with plug-in learned denoisers to achieve state-of-the-art results in class-specific image deconvolution. Finally, on the theoretical front, I will describe very recent work on tackling the infamous problem of how to adjust the penalty parameter of ADMM. The alternating direction method of multipliers (ADMM) is an optimization tool of choice for several imaging inverse problems, namely due its flexibility, modularity, and efficiency. In this talk, I will begin by reviewing our earlier work on using ADMM to deal with classical problems such as deconvolution, inpainting, compressive imaging, and how we have exploited its flexibility to deal with different noise models, including Gaussian, ...

## Multi angle  Numerical methods for mean field games - Lecture 1: Introduction to the system of PDEs and its interpretation. Uniqueness of classical solutions Achdou, Yves (Auteur de la Conférence) | CIRM (Editeur )

Recently, an important research activity on mean field games (MFGs for short) has been initiated by the pioneering works of Lasry and Lions: it aims at studying the asymptotic behavior of stochastic differential games (Nash equilibria) as the number $n$ of agents tends to infinity. The field is now rapidly growing in several directions, including stochastic optimal control, analysis of PDEs, calculus of variations, numerical analysis and computing, and the potential applications to economics and social sciences are numerous.
In the limit when $n \to +\infty$, a given agent feels the presence of the others through the statistical distribution of the states. Assuming that the perturbations of a single agent's strategy does not influence the statistical states distribution, the latter acts as a parameter in the control problem to be solved by each agent. When the dynamics of the agents are independent stochastic processes, MFGs naturally lead to a coupled system of two partial differential equations (PDEs for short), a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation.
The latter system of PDEs has closed form solutions in very few cases only. Therefore, numerical simulation are crucial in order to address applications. The present mini-course will be devoted to numerical methods that can be used to approximate the systems of PDEs.
The numerical schemes that will be presented rely basically on monotone approximations of the Hamiltonian and on a suitable weak formulation of the Fokker-Planck equation.
These schemes have several important features:

- The discrete problem has the same structure as the continous one, so existence, energy estimates, and possibly uniqueness can be obtained with the same kind of arguments

- Monotonicity guarantees the stability of the scheme: it is robust in the deterministic limit

- convergence to classical or weak solutions can be proved

Finally, there are particular cases named variational MFGS in which the system of PDEs can be seen as the optimality conditions of some optimal control problem driven by a PDE. In such cases, augmented Lagrangian methods can be used for solving the discrete nonlinear system. The mini-course will be orgamized as follows

1. Introduction to the system of PDEs and its interpretation. Uniqueness of classical solutions.

2. Monotone finite difference schemes

3. Examples of applications

4. Variational MFG and related algorithms for solving the discrete system of nonlinear equations
Recently, an important research activity on mean field games (MFGs for short) has been initiated by the pioneering works of Lasry and Lions: it aims at studying the asymptotic behavior of stochastic differential games (Nash equilibria) as the number $n$ of agents tends to infinity. The field is now rapidly growing in several directions, including stochastic optimal control, analysis of PDEs, calculus of variations, numerical analysis and ...

## Multi angle  Numerical methods for mean field games - Lecture 3: Variational MFG and related algorithms for solving the discrete system of nonlinear equations Achdou, Yves (Auteur de la Conférence) | CIRM (Editeur )

Recently, an important research activity on mean field games (MFGs for short) has been initiated by the pioneering works of Lasry and Lions: it aims at studying the asymptotic behavior of stochastic differential games (Nash equilibria) as the number $n$ of agents tends to infinity. The field is now rapidly growing in several directions, including stochastic optimal control, analysis of PDEs, calculus of variations, numerical analysis and computing, and the potential applications to economics and social sciences are numerous.
In the limit when $n \to +\infty$, a given agent feels the presence of the others through the statistical distribution of the states. Assuming that the perturbations of a single agent's strategy does not influence the statistical states distribution, the latter acts as a parameter in the control problem to be solved by each agent. When the dynamics of the agents are independent stochastic processes, MFGs naturally lead to a coupled system of two partial differential equations (PDEs for short), a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation.
The latter system of PDEs has closed form solutions in very few cases only. Therefore, numerical simulation are crucial in order to address applications. The present mini-course will be devoted to numerical methods that can be used to approximate the systems of PDEs.
The numerical schemes that will be presented rely basically on monotone approximations of the Hamiltonian and on a suitable weak formulation of the Fokker-Planck equation.
These schemes have several important features:

- The discrete problem has the same structure as the continous one, so existence, energy estimates, and possibly uniqueness can be obtained with the same kind of arguments

- Monotonicity guarantees the stability of the scheme: it is robust in the deterministic limit

- convergence to classical or weak solutions can be proved

Finally, there are particular cases named variational MFGS in which the system of PDEs can be seen as the optimality conditions of some optimal control problem driven by a PDE. In such cases, augmented Lagrangian methods can be used for solving the discrete nonlinear system. The mini-course will be orgamized as follows

1. Introduction to the system of PDEs and its interpretation. Uniqueness of classical solutions.

2. Monotone finite difference schemes

3. Examples of applications

4. Variational MFG and related algorithms for solving the discrete system of nonlinear equations
Recently, an important research activity on mean field games (MFGs for short) has been initiated by the pioneering works of Lasry and Lions: it aims at studying the asymptotic behavior of stochastic differential games (Nash equilibria) as the number $n$ of agents tends to infinity. The field is now rapidly growing in several directions, including stochastic optimal control, analysis of PDEs, calculus of variations, numerical analysis and ...

## Multi angle  Mean field type control with congestion Laurière, Mathieu (Auteur de la Conférence) | CIRM (Editeur )

The theory of mean field type control (or control of MacKean-Vlasov) aims at describing the behaviour of a large number of agents using a common feedback control and interacting through some mean field term. The solution to this type of control problem can be seen as a collaborative optimum. We will present the system of partial differential equations (PDE) arising in this setting: a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation. They describe respectively the evolution of the distribution of the agents' states and the evolution of the value function. Since it comes from a control problem, this PDE system differs in general from the one arising in mean field games.
Recently, this kind of model has been applied to crowd dynamics. More precisely, in this talk we will be interested in modeling congestion effects: the agents move but try to avoid very crowded regions. One way to take into account such effects is to let the cost of displacement increase in the regions where the density of agents is large. The cost may depend on the density in a non-local or in a local way. We will present one class of models for each case and study the associated PDE systems. The first one has classical solutions whereas the second one has weak solutions. Numerical results based on the Newton algorithm and the Augmented Lagrangian method will be presented.
This is joint work with Yves Achdou.
The theory of mean field type control (or control of MacKean-Vlasov) aims at describing the behaviour of a large number of agents using a common feedback control and interacting through some mean field term. The solution to this type of control problem can be seen as a collaborative optimum. We will present the system of partial differential equations (PDE) arising in this setting: a forward Fokker-Planck equation and a backward Hamilto...

## Multi angle  A review of different geometries for the training of neural networks Malago, Luigi (Auteur de la Conférence) | CIRM (Editeur )

Neural networks consist of a variegate class of computational models, used in machine learning for both supervised and unsupervised learning. Several topologies of networks have been proposed in the literature, since the preliminary work from the late 50s, including models based on undirected probabilistic graphical models, such as (Restricted) Boltzmann Machines, and on multi-layer feed-forward computational graphs. The training of a neural network is usually performed by the minimization of a cost function, such as the negative log-likelihood. During the talk we will review alternative geometries used to describe the space of the functions encoded by a neural network, parametrized by its connection weights, and the implications on the optimization of the cost function during training, from the perspective of Riemannian optimization. In the first part of the presentation, we will introduce a probabilistic interpretation for neural networks, which goes back to the work of Amari and coauthors from the 90s, and which is based on the use of the Fisher-Rao metric studied in Information Geometry. In this framework, the weights of a Boltzmann Machine, and similarly for feed-forward neural networks, are interpreted as the parameters of a (joint) statistical model for the observed, and possibly latent, variables. In the second part of the talk, we will review other approaches, motivated by invariant principles in neural networks and not explicitly based on probabilistic models, to the definition of alternative geometries for the space of the parameters of a neural network. The use of alternative non-Euclidean geometries has direct impact on the training algorithms, indeed by modeling the space of the functions associated to a neural network as a Riemannian manifold determines a dependence of the gradient on the choice of metric tensor. We conclude the presentation by reviewing some recently proposed training algorithm for neural networks, based on Riemannian optimization algorithms. Neural networks consist of a variegate class of computational models, used in machine learning for both supervised and unsupervised learning. Several topologies of networks have been proposed in the literature, since the preliminary work from the late 50s, including models based on undirected probabilistic graphical models, such as (Restricted) Boltzmann Machines, and on multi-layer feed-forward computational graphs. The training of a neural ...

## Multi angle  Data-driven wildfire behavior modelling: focus on front level-set data assimilation Rochoux, Mélanie (Auteur de la Conférence) | CIRM (Editeur )

A front data assimilation system named FIREFLY has been developed at CERFACS in collaboration with the University of Maryland to better estimate the environmental conditions (biomass properties, near-surface wind). We discuss the sequential application of the ensemble Kalman filter (EnKF) in FIREFLY for correcting in a spatially-distributed way, input parameters in order to better track the fire front position. In particular, using a polynomial chaos surrogate to mimic the wildfire spread model in the EnKF algorithm was found in collaboration with LIMSI to be a promising strategy to reduce the computational cost of FIREFLY.
We also discuss the way we represent the distance between simulated and observed fronts. In the CEMRACS project, a new discrepancy operator will be introduced to better represent the match (or mismatch) between simulated fronts and mid-infrared observations in collaboration with INRIA. This front level-set data assimilation derived from image processing and designed for electrophysiology will be extended to wildfire spread monitoring.
A front data assimilation system named FIREFLY has been developed at CERFACS in collaboration with the University of Maryland to better estimate the environmental conditions (biomass properties, near-surface wind). We discuss the sequential application of the ensemble Kalman filter (EnKF) in FIREFLY for correcting in a spatially-distributed way, input parameters in order to better track the fire front position. In particular, using a polynomial ...

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