Optimizing the drift in a diffusive search for a random stationary target

DOI10.1214/19-EJP335zbMATH Open1466.60162arXiv1803.10463MaRDI QIDQ2274201FDOQ2274201

Authors: Ross G. Pinsky 

Publication date: 19 September 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Let $ainmathbbR$ denote an unknown stationary target with a known distribution $muinmathcalP(mathbbR)$, the space of probability measures on $mathbbR$. A diffusive searcher $X(cdot)$ sets out from the origin to locate the target. The time to locate the target is $T_a=inftge0:X(t)=a$. The searcher has a given constant diffusion rate $D>0$, but its drift $b$ can be set by the search designer from a natural admissible class $mathcal{D}_{m}u$ of drifts. Thus, the diffusive searcher is a Markov process generated by the operator $L=fracD2frac{d}^{2}d{x}^2+b(x)fracddx$. % equivalently, $X(cdot)$ satisfies the stochastic differential equation %$X(t)=W(t)+in{t}_0^{t}b(X(s))ds$, where $W(cdot)$ is a standard Brownian motion. For a given drift $b$, the expected time of the search is �egin{equation} int_{mathbb{R}} (E^{(b)}_0T_a) hinspacemu(da). end{equation} Our aim is to minimize this expected search time over all admissible drifts $binmathcal{D}_{m}u$. For measures $mu$ that satisfy a certain balance condition between their restriction to the positive axis and their restriction to the negative axis, a condition satisfied, in particular, by all symmetric measures, we can give a complete answer to the problem. We calculate the above infimum explicitly, we classify the measures for which the infimum is attained, and in the case that it is attained, we calculate the minimizing drift explicitly. For measures that do not satisfy the balance condition, we obtain partial results.

Full work available at URL: https://arxiv.org/abs/1803.10463

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zbMATH Keywords

optimizationdriftdiffusive searchrandom target

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

• Title not available (Why is that?)
• Diffusion with optimal resetting
• Kemeny's constant for one-dimensional diffusions
• Diffusive search with spatially dependent resetting
• Optimal diffusive search: nonequilibrium resetting versus equilibrium dynamics
• Optimal potentials for diffusive search strategies

Cited In (6)

• Enhancement of target location rates by stochastic modulation of Brownian motion
• Optimal potentials for diffusive search strategies
• MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS
• Optimal Drift on [ 0, 1 ]
• Diffusive search with spatially dependent resetting
• Kemeny's constant for one-dimensional diffusions

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