Classroom note: Using Platonic bodies to generate a random sample from a population having two characteristics linked with a predetermined coefficient of correlation

This note describes a simple method of generating a random sample of N pairs (U _i ,?W _i ) from a population whose elements have two characteristics U  and W associated with a known coefficient of correlation. Although the method described is extremely advantageous when Platonic bodies are used, it can be generalized to include any discrete uniform distribution.     

A Shooting Algorithm for Optimal Control Problems with Singular Arcs

In this article, we propose a shooting algorithm for a class of optimal control problems for which all control variables appear linearly. The shooting system has, in the general case, more equations than unknowns and the Gauss–Newton method is used to compute a zero of the shooting function. This shooting algorithm is locally quadratically convergent, if the derivative of the shooting function is one-to-one at the solution. The main result of this paper is to show that the latter holds whenever a sufficient condition for weak optimality is satisfied. We note that this condition is very close to a second order necessary condition. For the case when the shooting system can be reduced to one having the same number of unknowns and equations (square system), we prove that the mentioned sufficient condition guarantees the stability of the optimal solution under small perturbations and the invertibility of the Jacobian matrix of the shooting function associated with the perturbed problem. We present numerical tests that validate our method.     

Semigroups That Are Almost N 3

A construction is given for semigroups S such that S ³ has just two elements.     

Particle methods for stochastic optimal control problems

When dealing with numerical solution of stochastic optimal control problems, stochastic dynamic programming is the natural framework. In order to try to overcome the so-called curse of dimensionality, the stochastic programming school promoted another approach based on scenario trees which can be seen as the combination of Monte Carlo sampling ideas on the one hand, and of a heuristic technique to handle causality (or nonanticipativeness) constraints on the other hand. However, if one considers that the solution of a stochastic optimal control problem is a feedback law which relates control to state variables, the numerical resolution of the optimization problem over a scenario tree should be completed by a feedback synthesis stage in which, at each time step of the scenario tree, control values at nodes are plotted against corresponding state values to provide a first discrete shape of this feedback law from which a continuous function can be finally inferred. From this point of view, the scenario tree approach faces an important difficulty: at the first time stages (close to the tree root), there are a few nodes (or Monte-Carlo particles), and therefore a relatively scarce amount of information to guess a feedback law, but this information is generally of a good quality (that is, viewed as a set of control value estimates for some particular state values, it has a small variance because the future of those nodes is rich enough); on the contrary, at the final time stages (near the tree leaves), the number of nodes increases but the variance gets large because the future of each node gets poor (and sometimes even deterministic). After this dilemma has been confirmed by numerical experiments, we have tried to derive new variational approaches. First of all, two different formulations of the essential constraint of nonanticipativeness are considered: one is called algebraic and the other one is called functional. Next, in both settings, we obtain optimality conditions for the corresponding optimal control problem. For the numerical resolution of those optimality conditions, an adaptive mesh discretization method is used in the state space in order to provide information for feedback synthesis. This mesh is naturally derived from a bunch of sample noise trajectories which need not to be put into the form of a tree prior to numerical resolution. In particular, an important consequence of this discrepancy with the scenario tree approach is that the same number of nodes (or points) are available from the beginning to the end of the time horizon. And this will be obtained without sacrifying the quality of the results (that is, the variance of the estimates). Results of experiments with a hydro-electric dam production management problem will be presented and will demonstrate the claimed improvements. A more realistic problem will also be presented in order to demonstrate the effectiveness of the method for high dimensional problems.     

Macroscopic Limits and Phase Transition in a System of Self-propelled Particles

We investigate systems of self-propelled particles with alignment interaction. Compared to previous work (Degond and Motsch, Math. Models Methods Appl. Sci. 18:1193–1215, 2008a; Frouvelle, Math. Models Methods Appl. Sci., 2012), the force acting on the particles is not normalized, and this modification gives rise to phase transitions from disordered states at low density to aligned states at high densities. This model is the space-inhomogeneous extension of (Frouvelle and Liu, Dynamics in a kinetic model of oriented particles with phase transition, 2012), in which the existence and stability of the equilibrium states were investigated. When the density is lower than a threshold value, the dynamics is described by a nonlinear diffusion equation. By contrast, when the density is larger than this threshold value, the dynamics is described by a similar hydrodynamic model for self-alignment interactions as derived in (Degond and Motsch, Math. Models Methods Appl. Sci. 18:1193–1215, 2008a; Frouvelle, Math. Models Methods Appl. Sci., 2012). However, the modified normalization of the force gives rise to different convection speeds, and the resulting model may lose its hyperbolicity in some regions of the state space.     

On Pythagoras Theorem for Products of Spectral Triples

We discuss a version of Pythagoras theorem in noncommutative geometry. Usual Pythagoras theorem can be formulated in terms of Connes’ distance, between pure states, in the product of commutative spectral triples. We investigate the generalization to both non-pure states and arbitrary spectral triples. We show that Pythagoras theorem is replaced by some Pythagoras inequalities, that we prove for the product of arbitrary (i.e. non-necessarily commutative) spectral triples, assuming only some unitality condition. We show that these inequalities are optimal, and we provide non-unital counter-examples inspired by K-homology.     

Time-reversal symmetry relation for nonequilibrium flows ruled by the fluctuating Boltzmann equation

A time-reversal symmetry relation is established for out-of-equilibrium dilute or rarefied gases described by the fluctuating Boltzmann equation. The relation is obtained from the associated coarse-grained master equation ruling the random numbers of particles in cells of given position and velocity in the one-particle phase space. The symmetry relation concerns the fluctuating particle and energy currents of the gas flowing between reservoirs or thermalizing surfaces at given particle densities or temperatures.     

Strict Monotonicity of Eigenvalues and Unique Continuation

In this paper, we show that the strict mononicity of the eigen-values of an uniformly elliptic operator of second order is equivalent to a unique continuation property.