arXiv subjects

Claudia Totzeck

Publications and source records attributed to Claudia Totzeck.

35 records · Page 2Linked to original sources

arXiv2022

Gradient-based parameter calibration of an anisotropic interaction model for pedestrian dynamics

We propose an extension of the anisotropic interaction model which allows for collision avoidance in pairwise interactions by a rotation of forces \cite{arXiv:1912.04234} by including the agents' body size. The influence of the body size on the self-organization of the agents in channel and crossing scenarios as well as the fundamental diagram is studied. Since the model is stated as a coupled system of ordinary differential equations, we are able to give a rigorous well-posedness analysis. Then we state a parameter calibration problem that involves data from real experiments. We prove the existence of a minimizer and derive the corresponding first-order optimality conditions. With the help of these conditions we propose a gradient descent algorithm based on mini-batches of the data set. We employ the proposed algorithm to fit the parameter of the collision avoidance and the strength parameters of the interaction forces to given real data from experiments. The results underpin the feasibility of the method.

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arXiv2021

A gradient based calibration method for the Heston model

The Heston model is a well-known two-dimensional financial model. Because the Heston model contains implicit parameters that cannot be determined directly from real market data, calibrating the parameters to real market data is challenging. In addition, some of the parameters in the model are non-linear, which makes it difficult to find the global minimum of the optimization problem within the calibration. In this paper, we present a first step towards a novel space mapping approach for parameter calibration of the Heston model. Since the space mapping approach requires an optimization algorithm, we focus on deriving a gradient descent algorithm. To this end, we determine the formal adjoint of the Heston PDE, which is then used to update the Heston parameters. Since the methods are similar, we consider a variation of constant and time-dependent parameter sets. Numerical results show that our calibration of the Heston PDE works well for the various challenges in the calibration process and meets the requirements for later incorporation into the space mapping approach. Since the model and the algorithm are well known, this work is formulated as a proof of concept.

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arXiv2021

Parameter calibration with Consensus-based Optimization for interaction dynamics driven by neural networks

We calibrate parameters of neural networks that model forces in interaction dynamics with the help of the Consensus-based global optimization method (CBO). We state the general framework of interaction particle systems driven by neural networks and test the proposed method with a real dataset from the ESIMAS traffic experiment. The resulting forces are compared to well-known physical interaction forces. Moreover, we compare the performance of the proposed calibration process to the one in [4] which uses a stochastic gradient descent algorithm.

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arXiv2021

Trends in Consensus-based optimization

In this chapter we give an overview of the consensus-based global optimization algorithm and its recent variants. We recall the formulation and analytical results of the original model, then we discuss variants using component-wise independent or common noise. In combination with mini-batch approaches those variants were tailored for machine learning applications. Moreover, it turns out that the analytical estimates are dimension independent, which is useful for high-dimensional problems. We discuss the relationship of consensus-based optimization with particle swarm optimization, a method widely used in the engineering community. Then we survey a variant of consensus-based optimization that is proposed for global optimization problems constrained to hyper-surfaces. We conclude the chapter with remarks on applications, preprints and open problems.

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arXiv2021

Space mapping-based optimization with the macroscopic limit of interacting particle systems

We propose a space mapping-based optimization algorithm for microscopic interacting particle dynamics which are inappropriate for direct optimization. This is of relevance for example in applications with bounded domains such that the microscopic optimization is difficult. The space mapping algorithm exploits the relationship of the microscopic description of the interacting particle system and the corresponding macroscopic description as partial differential equation in the "many particle limit". We validate the approach with the help of a toy problem that allows for direct optimization. Then we study the performance of the algorithm in two applications. An evacuation dynamic is considered and the transportation of goods on a conveyor belt is optimized. The numerical results underline the feasibility of the proposed approach.

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arXiv2021

Optimal control for interacting particle systems driven by neural networks

We propose a neural network approach to model general interaction dynamics and an adjoint based stochastic gradient descent algorithm to calibrate its parameters. The parameter calibration problem is considered as optimal control problem that is investigated from a theoretical and numerical point of view. We prove the existence of optimal controls, derive the corresponding first order optimality system and formulate a stochastic gradient descent algorithm to identify parameters for given data sets. To validate the approach we use real data sets from traffic and crowd dynamics to fit the parameters. The results are compared to forces corresponding to well-known interaction models such as the Lighthill-Whitham-Richards model for traffic and the social force model for crowd motion.

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arXiv2020

Mean-field optimal control for biological pattern formation

We propose a mean-field optimal control problem for the parameter identification of a given pattern. The cost functional is based on the Wasserstein distance between the probability measures of the modeled and the desired patterns. The first-order optimality conditions corresponding to the optimal control problem are derived using a Lagrangian approach on the mean-field level. Based on these conditions we propose a gradient descent method to identify relevant parameters such as angle of rotation and force scaling which may be spatially inhomogeneous. We discretize the first-order optimality conditions in order to employ the algorithm on the particle level. Moreover, we prove a rate for the convergence of the controls as the number of particles used for the discretization tends to infinity. Numerical results for the spatially homogeneous case demonstrate the feasibility of the approach.

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arXiv2020

Consensus-Based Global Optimization with Personal Best

In this paper we propose a variant of a consensus-based global optimization (CBO) method that uses personal best information in order to compute the global minimum of a non-convex, locally Lipschitz continuous function. The proposed approach is motivated by the original particle swarming algorithms, in which particles adjust their position with respect to the personal best, the current global best, and some additive noise. The personal best information along an individual trajectory is included with the help of a weighted mean. This weighted mean can be computed very efficiently due to its accumulative structure. It enters the dynamics via an additional drift term. We illustrate the performance with a toy example, analyze the respective memory-dependent stochastic system and compare the performance with the original CBO with component-wise noise for several benchmark problems. The proposed method has a higher success rate for computational experiments with a small particle number and where the initial particle distribution is disadvantageous with respect to the global minimum.

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arXiv2019

Parameter identification in uncertain scalar conservation laws discretized with the discontinuous stochastic Galerkin Scheme

We study an identification problem which estimates the parameters of the underlying random distribution for uncertain scalar conservation laws. The hyperbolic equations are discretized with the so-called discontinuous stochastic Galerkin method, i.e., using a spatial discontinuous Galerkin scheme and a Multielement stochastic Galerkin ansatz in the random space. We assume an uncertain flux or uncertain initial conditions and that a data set of an observed solution is given. The uncertainty is assumed to be uniformly distributed on an unknown interval and we focus on identifying the correct endpoints of this interval. The first-order optimality conditions from the discontinuous stochastic Galerkin discretization are computed on the time-continuous level. Then, we solve the resulting semi-discrete forward and backward schemes with the Runge Kutta method. To illustrate the feasibility of the approach, we apply the method to a stochastic advection and a stochastic equation of Burgers' type. The results show that the method is able to identify the distribution parameters of the random variable in the uncertain differential equation even if discontinuities are present.

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arXiv2019

An anisotropic interaction model with collision avoidance

In this article an anisotropic interaction model avoiding collisions is proposed. Starting point is a general isotropic interacting particle system, as used for swarming or follower-leader dynamics. An anisotropy is induced by rotation of the force vector resulting from the interaction of two agents. In this way the anisotropy is leading to a smooth evasion behaviour. In fact, the proposed model generalizes the standard models, and compensates their drawback of not being able to avoid collisions. Moreover, the model allows for formal passage to the limit 'number of particles to infinity', leading to a mesoscopic description in the mean-field sense. Possible applications are autonomous traffic, swarming or pedestrian motion. Here, we focus on the latter, as the model is validated numerically using two scenarios in pedestrian dynamics. The first one investigates the pattern formation in a channel, where two groups of pedestrians are walking in opposite directions. The second experiment considers a crossing with one group walking from left to right and the other one from bottom to top. The well-known pattern of lanes in the channel and travelling waves at the crossing can be reproduced with the help of this anisotropic model at both, the microscopic and the mesoscopic level. In addition, the 'right-before-left' and 'left-before-right' rule appear intrinsically for different anisotropy parameters.

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arXiv2019

Space mapping-based Receding Horizon Control for Stochastic Interacting Particle Systems: dogs herding sheep

Control of stochastic interacting particle systems is a non-trivial task due to the high dimensionality of the problem and the lack of fast algorithms. Here, we propose a space mapping-based approximation of the stochastic control problem by solutions of the deterministic one. In combination with the receding horizon control technique this yields a reliable and fast numerical scheme for the closed loop control of stochastic interacting particle systems. As a numerical example we consider the herding of sheep with dogs. The numerical results underline the feasibility of our approach and further show stabilizing behaviour of the closed loop control.

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arXiv2019

Instantaneous control of interacting particle systems in the mean-field limit

Controlling large particle systems in collective dynamics by a few agents is a subject of high practical importance, e.g., in evacuation dynamics. In this paper we study an instantaneous control approach to steer an interacting particle system into a certain spatial region by repulsive forces from a few external agents, which might be interpreted as shepherd dogs leading sheep to their home. We introduce an appropriate mathematical model and the corresponding optimization problem. In particular, we are interested in the interaction of numerous particles, which can be approximated by a mean-field equation. Due to the high-dimensional phase space this will require a tailored optimization strategy. The arising control problems are solved using adjoint information to compute the descent directions. Numerical results on the microscopic and the macroscopic level indicate the convergence of optimal controls and optimal states in the mean-field limit,i.e., for an increasing number of particles.

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arXiv2019

Mean-field optimal control and optimality conditions in the space of probability measures

We derive a framework to compute optimal controls for problems with states in the space of probability measures. Since many optimal control problems constrained by a system of ordinary differential equations (ODE) modelling interacting particles converge to optimal control problems constrained by a partial differential equation (PDE) in the mean-field limit, it is interesting to have a calculus directly on the mesoscopic level of probability measures which allows us to derive the corresponding first-order optimality system. In addition to this new calculus, we provide relations for the resulting system to the first-order optimality system derived on the particle level, and the first-order optimality system based on $L^2$-calculus under additional regularity assumptions. We further justify the use of the $L^2$-adjoint in numerical simulations by establishing a link between the adjoint in the space of probability measures and the adjoint corresponding to $L^2$-calculus. Moreover, we prove a convergence rate for the convergence of the optimal controls corresponding to the particle formulation to the optimal controls of the mean-field problem as the number of particles tends to infinity.

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arXiv2016

Controlling a self-organizing system of individuals guided by a few external agents -- particle description and mean-field limit

Optimal control of large particle systems with collective dynamics by few agents is a subject of high practical importance (e.g. in evacuation dynamics), but still limited mathematical basis. In particular the transition from discrete optimal control to a continuum setting as the number of particles tends to infinity is by far not fully understood. In this paper we contribute to this issue by studying a canonical model of controlling an interacting particle system into a certain spatial region by repulsive forces from few external agents, which might be interpreted as shepherd dogs leading sheep to their home. We discuss the appropriate modelling of such a problem and the associated optimality systems, providing some connections between the Lagrange multipliers in the discrete and continuum setting. As control strategies we investigate an Instantaneous Control and a global Optimal Control approach. The solutions of a family of control problems for the particle system with external agents are numerically compared to the mean-field controls as the number of particles tends to infinity. In both cases, this leads to a high dimensional phase space requiring tailored optimization strategies. All control problems arising are solved using adjoint information to compute the descent directions. The numerical results indicate the convergence of controls for both optimization strategies.

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arXiv2016

A consensus-based model for global optimization and its mean-field limit

We introduce a novel first-order stochastic swarm intelligence (SI) model in the spirit of consensus formation models, namely a consensus-based optimization (CBO) algorithm, which may be used for the global optimization of a function in multiple dimensions. The CBO algorithm allows for passage to the mean-field limit, which results in a nonstandard, nonlocal, degenerate parabolic partial differential equation (PDE). Exploiting tools from PDE analysis we provide convergence results that help to understand the asymptotic behavior of the SI model. We further present numerical investigations underlining the feasibility of our approach.

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arXiv2016

An analytical framework for a consensus-based global optimization method

In this paper we provide an analytical framework for investigating the efficiency of a consensus-based model for tackling global optimization problems. This work justifies the optimization algorithm in the mean-field sense showing the convergence to the global minimizer for a large class of functions. Theoretical results on consensus estimates are then illustrated by numerical simulations where variants of the method including nonlinear diffusion are introduced.

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arXiv2015

The quasi-neutral limit in optimal semiconductor design

We study the quasi-neutral limit in an optimal semiconductor design problem constrained by a nonlinear, nonlocal Poisson equation modelling the drift diffusion equations in thermal equilibrium. While a broad knowledge on the asymptotic links between the different models in the semiconductor model hierarchy exists, there are so far no results on the corresponding optimization problems available. Using a variational approach we end up with a bi-level optimization problem, which is thoroughly analysed. Further, we exploit the concept of Gamma-convergence to perform the quasi-neutral limit for the minima and minimizers. This justifies the construction of fast optimization algorithms based on the zero space charge approximation of the drift-diffusion model. The analytical results are underlined by numerical experiments confirming the feasibility of our approach.

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