arXiv subjects

Julien Salomon

Publications and source records attributed to Julien Salomon.

36 records · Page 2Linked to original sources

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

Parareal in time 3D numerical solver for the LWR Benchmark neutron diffusion transient model

We present a parareal in time algorithm for the simulation of neutron diffusion transient model. The method is made efficient by means of a coarse solver defined with large time steps and steady control rods model. Using finite element for the space discretization, our implementation provides a good scalability of the algorithm. Numerical results show the efficiency of the parareal method on large light water reactor transient model corresponding to the Langenbuch-Maurer-Werner (LMW) benchmark [1].

physics.comp-ph↗

arXiv2012

Control through operators for quantum chemistry

We consider the problem of operator identification in quantum control. The free Hamiltonian and the dipole moment are searched such that a given target state is reached at a given time. A local existence result is obtained. As a by-product, our works reveals necessary conditions on the laser field to make the identification feasible. In the last part of this work, some algorithms are proposed to compute effectively these operators.

math.OC↗

arXiv2012

Parareal in time intermediate targets methods for optimal control problem

In this paper, we present a method that enables solving in parallel the Euler-Lagrange system associated with the optimal control of a parabolic equation. Our approach is based on an iterative update of a sequence of intermediate targets that gives rise to independent sub-problems that can be solved in parallel. This method can be coupled with the parareal in time algorithm. Numerical experiments show the efficiency of our method.

math.OC↗

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↗

arXiv2011

Local matching indicators for transport problems with concave costs

In this paper, we introduce a class of indicators that enable to compute efficiently optimal transport plans associated to arbitrary distributions of N demands and M supplies in R in the case where the cost function is concave. The computational cost of these indicators is small and independent of N. A hierarchical use of them enables to obtain an efficient algorithm.

math.OC↗

arXiv2011

An intermediate targets method for time parallelization in optimal control

In this paper, we present a method that enables to solve in parallel the Euler-Lagrange system associated with the optimal control of a parabolic equation. Our approach is based on an iterative update of a sequence of intermediate targets and gives rise independent sub-problems that can be solved in parallel. Numerical experiments show the efficiency of our method.

math.OC↗

arXiv2011

Minimum-weight perfect matching for non-intrinsic distances on the line

Consider a real line equipped with a (not necessarily intrinsic) distance. We deal with the minimum-weight perfect matching problem for a complete graph whose points are located on the line and whose edges have weights equal to distances along the line. This problem is closely related to one-dimensional Monge-Kantorovich trasnport optimization. The main result of the present note is a "bottom-up" recursion relation for weights of partial minimum-weight matchings.

math.OC↗

arXiv2010

A monotonic method for solving nonlinear optimal control problems

Initially introduced in the framework of quantum control, the so-called "monotonic algorithms" have demonstrated excellent numerical performance when dealing with bilinear optimal control problems. This paper presents a unified formulation that can be applied to more nonlinear settings compatible with the hypothesis detailed below. In this framework, we show that the well-posedness of the general algorithm is related to a nonlinear evolution equation. We prove the existence of the solution to this equation and give important properties of the optimal control functional. Finally we show how the algorithm works for selected models from the literature and compare it with the gradient algorithm.

math.OC↗

arXiv2010

Local matching indicators for transport with concave costs

In this note, we introduce a class of indicators that enable to compute efficiently optimal transport plans associated to arbitrary distributions of $N$ demands and $N$ supplies in $\mathbf{R}$ in the case where the cost function is concave. The computational cost of these indicators is small and independent of $N$. A hierarchical use of them enables to obtain an efficient algorithm.

math.OC↗

arXiv2010

Analysis of the Toolkit method for the time-dependant Schrödinger equation

The goal of this paper is to provide an analysis of the "toolkit" method used in the numerical approximation of the time-dependent Schrödinger equation. The "toolkit" method is based on precomputation of elementary propagators and was seen to be very efficient in the optimal control framework. Our analysis shows that this method provides better results than the second order Strang operator splitting. In addition, we present two improvements of the method in the limit of low and large intensity control fields.

math.OC↗

arXiv2010

Fast transport optimization for Monge costs on the circle

Consider the problem of optimally matching two measures on the circle, or equivalently two periodic measures on the real line, and suppose the cost of matching two points satisfies the Monge condition. We introduce a notion of locally optimal transport plan, motivated by the weak KAM (Aubry-Mather) theory, and show that all locally optimal transport plans are conjugate to shifts and that the cost of a locally optimal transport plan is a convex function of a shift parameter. This theory is applied to a transportation problem arising in image processing: for two sets of point masses on the circle, both of which have the same total mass, find an optimal transport plan with respect to a given cost function satisfying the Monge condition. In the circular case the sorting strategy fails to provide a unique candidate solution and a naive approach requires a quadratic number of operations. For the case of $N$ real-valued point masses we present an O(N |log epsilon|) algorithm that approximates the optimal cost within epsilon; when all masses are integer multiples of 1/M, the algorithm gives an exact solution in O(N log M) operations.

math.OC↗

arXiv2010

A smoothing monotonic convergent optimal control algorithm for NMR pulse sequence design

The past decade has demonstrated increasing interests in using optimal control based methods within coherent quantum controllable systems. The versatility of such methods has been demonstrated with particular elegance within nuclear magnetic resonance (NMR) where natural separation between coherent and dissipative spin dynamics processes has enabled coherent quantum control over long periods of time to shape the experiment to almost ideal adoption to the spin system and external manipulations. This has led to new design principles as well as powerful new experimental methods within magnetic resonance imaging, liquid-state and solid-state NMR spectroscopy. For this development to continue and expand, it is crucially important to constantly improve the underlying numerical algorithms to provide numerical solutions which are optimally compatible with implementation on current instrumentation and at same time are numerically stable and offer fast monotonic convergence towards the target. Addressing such aims, we here present a smoothing monotonically convergent algorithm for pulse sequence design in magnetic resonance which with improved optimization stability lead to smooth pulse sequence easier to implement experimentally and potentially understand within the analytical framework of modern NMR spectroscopy.

quant-ph↗

arXiv2009

Analysis of the Toolkit method for the time-dependant Schrödinger equation

The goal of this paper is to provide an analysis of the ``toolkit'' method used in the numerical approximation of the time-dependent Schrödinger equation. The ``toolkit'' method is based on precomputation of elementary propagators and was seen to be very efficient in the optimal control framework. Our analysis shows that this method provides better results than the second order Strang operator splitting. In addition, we present two improvements of the method in the limit of low and large intensity control fields.

math.OC↗

arXiv2009

A greedy algorithm for the identification of quantum systems

The control of quantum phenomena is a topic that has carried out many challenging problems. Among others, the Hamiltonian identification, i.e, the inverse problem associated with the unknown features of a quantum system is still an open issue. In this work, we present an algorithm that enables to design a set of selective laser fields that can be used, in a second stage, to identify unknown parameters of quantum systems.

math.OC↗

arXiv2008

Constructive solution of a bilinear optimal control problem for a Schrödinger equation

Often considered in numerical simulations related to the control of quantum systems, the so-called monotonic schemes have not been so far much studied from the functional analysis point of view. Yet, these procedures provide an efficient constructive method for solving a certain class of optimal control problems. This paper aims both at extending the results already available about these algorithms in the finite dimensional case (i.e., the time-discretized case) and at completing those of the continuous case. This paper starts with some results about the regularity of a functional related to a wide class of model in quantum chemistry. Those enable us to extend an inequality due to

math.AP↗

arXiv2005

Optimal molecular alignment and orientation through rotational ladder climbing

We study the control by electromagnetic fields of molecular alignment and orientation, in a linear, rigid rotor model. With the help of a monotonically convergent algorithm, we find that the optimal field is in the microwave part of the spectrum and acts by resonantly exciting the rotation of the molecule progressively from the ground state, i.e., by rotational ladder climbing. This mechanism is present not only when maximizing orientation or alignment, but also when using prescribed target states that simultaneously optimize the efficiency of orientation/alignment and its duration. The extension of the optimization method to consider a finite rotational temperature is also presented.

physics.chem-ph↗

arXiv2005

Limit points of the monotonic schemes

Many numerical simulations in quantum (bilinear) control use the monotonically convergent algorithms of Krotov (introduced by Tannor), Zhu & Rabitz or the general form of Maday & Turinici. This paper presents an analysis of the limit set of controls provided by these algorithms and a proof of convergence in a particular case.

quant-ph↗