arXiv subjects

Bernard Haasdonk

Publications and source records attributed to Bernard Haasdonk.

59 records · Page 4Linked to original sources

arXiv2016

Model order reduction approaches for infinite horizon optimal control problems via the HJB equation

We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is well-known that HJB equations suffer the so called curse of dimensionality and, therefore, a reduction of the dimension of the system is mandatory. In this report we focus on the infinite horizon optimal control problem with quadratic cost functionals. We compare several model reduction methods such as Proper Orthogonal Decomposition, Balanced Truncation and a new algebraic Riccati equation based approach. Finally, we present numerical examples and discuss several features of the different methods analyzing advantages and disadvantages of the reduction methods.

math.OC↗

arXiv2014

Reduced basis methods for pricing options with the Black-Scholes and Heston model

In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational equality or inequality. We apply a suitable reduced basis approach for both types of options. The characteristic ingredients used in the method are a combined POD-Greedy and Angle-Greedy procedure for the construction of the primal and dual reduced spaces. Analytically, we prove the reproduction property of the reduced scheme and derive a posteriori error estimators. Numerical examples are provided, illustrating the approximation quality and convergence of our approach for the different option pricing models. Also, we investigate the reliability and effectivity of the error estimators.

math.NA↗

arXiv2014

The Localized Reduced Basis Multiscale method for two-phase flows in porous media

In this work, we propose a novel model order reduction approach for two-phase flow in porous media by introducing a formulation in which the mobility, which realizes the coupling between phase saturations and phase pressures, is regarded as a parameter to the pressure equation. Using this formulation, we introduce the Localized Reduced Basis Multiscale method to obtain a low-dimensional surrogate of the high-dimensional pressure equation. By applying ideas from model order reduction for parametrized partial differential equations, we are able to split the computational effort for solving the pressure equation into a costly offline step that is performed only once and an inexpensive online step that is carried out in every time step of the two-phase flow simulation, which is thereby largely accelerated. Usage of elements from numerical multiscale methods allows us to displace the computational intensity between the offline and online step to reach an ideal runtime at acceptable error increase for the two-phase flow simulation.

math.NA↗

arXiv2012

Efficient parametric analysis of the chemical master equation through model order reduction

Background: Stochastic biochemical reaction networks are commonly modelled by the chemical master equation, and can be simulated as first order linear differential equations through a finite state projection. Due to the very high state space dimension of these equations, numerical simulations are computationally expensive. This is a particular problem for analysis tasks requiring repeated simulations for different parameter values. Such tasks are computationally expensive to the point of infeasibility with the chemical master equation. Results: In this article, we apply parametric model order reduction techniques in order to construct accurate low-dimensional parametric models of the chemical master equation. These surrogate models can be used in various parametric analysis task such as identifiability analysis, parameter estimation, or sensitivity analysis. As biological examples, we consider two models for gene regulation networks, a bistable switch and a network displaying stochastic oscillations. Conclusions: The results show that the parametric model reduction yields efficient models of stochastic biochemical reaction networks, and that these models can be useful for systems biology applications involving parametric analysis problems such as parameter exploration, optimization, estimation or sensitivity analysis.

q-bio.QM↗

arXiv2012

A Reduced Basis Method for the Simulation of American Options

We present a reduced basis method for the simulation of American option pricing. To tackle this model numerically, we formulate the problem in terms of a time dependent variational inequality. Characteristic ingredients are a POD-greedy and an angle-greedy procedure for the construction of the primal and dual reduced spaces. Numerical examples are provided, illustrating the approximation quality and convergence of our approach.

math.OC↗