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We present a family of multistep integrators based on the Adams-Bashforth methods. These schemes can be constructed for arbitrary convergence order with arbitrary step size variation. The step size can differ between different subdomains of…
We consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of convergence and investigate mean-square stability…
In this paper we consider the spatial semi-discretization of conservative PDEs. Such finite dimensional approximations of infinite dimensional dynamical systems can be described as flows in suitable matrix spaces, which in turn leads to the…
In this paper we devise a systematic procedure to obtain nonlocal symmetries of a class of scalar nonlinear ordinary differential equations (ODEs) of arbitrary order related to linear ODEs through nonlocal relations. The procedure makes use…
The multigrid methodology is reviewed. By integrating numerical processes at all scales of a problem, it seeks to perform various computational tasks at a cost that rises as slowly as possible as a function of $n$, the number of degrees of…
In contrast to the commonly used lattice Boltzmann method, off-lattice Boltzmann methods decouple the velocity discretization from the underlying spatial grid, thus allowing for more efficient geometric representations of complex…
It is of great interest to solve the inverse problem of stationary radiative transport equation (RTE) in optical tomography. The standard way is to formulate the inverse problem into an optimization problem, but the bottleneck is that one…
In this paper, we discuss a systematic and self consistent procedure to factorize a rather general class of coupled nonlinear ordinary differential equations (ODEs), namely coupled quadratic and mixed Li\'enard type equations, which include…
In this paper, a time-periodic MGRIT algorithm is proposed as a means to reduce the time-to-solution of numerical algorithms by exploiting the time periodicity inherent to many applications in science and engineering. The time-periodic…
This article considers estimation of constant and time-varying coefficients in nonlinear ordinary differential equation (ODE) models where analytic closed-form solutions are not available. The numerical solution-based nonlinear least…
In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs). Based on the FBSDEs theory, we derive two reference ordinary differential equations (ODEs) from the…
This work establishes a rigorous connection between stability properties of discrete-time algorithms (DTAs) and corresponding continuous-time dynamical systems derived through $ O(s^r) $-resolution ordinary differential equations (ODEs). We…
Latitude on the choice of initialisation is a shared feature between one-step extended state-space and multi-step methods. The paper focuses on lattice Boltzmann schemes, which can be interpreted as examples of both previous categories of…
A multi-step extended maximum residual Kaczmarz method is presented for the solution of the large inconsistent linear system of equations by using the multi-step iterations technique. Theoretical analysis proves the proposed method is…
Many particle-based Bayesian inference methods use a single global step size for all parts of the update. In Stein variational gradient descent (SVGD), however, each update combines two qualitatively different effects: attraction toward…
We present a new microscopic ODE-based model for pedestrian dynamics: the Gradient Navigation Model. The model uses a superposition of gradients of distance functions to directly change the direction of the velocity vector. The velocity is…
The stability of integrators dealing with high order Differential Algebraic Equations (DAEs) is a major issue. The usual procedures give rise to instabilities that are not predicted by the usual linear analysis, rendering the common checks…
This paper presents a new class of high order linear ImEx multistep schemes with large regions of unconditional stability. Unconditional stability is a desirable property of a time stepping scheme, as it allows the choice of time step…
Statistical regression models whose mean functions are represented by ordinary differential equations (ODEs) can be used to describe phenomenons dynamical in nature, which are abundant in areas such as biology, climatology and genetics. The…
A fast and robust Jacobian-free time-integration method - called Minimum-error Adaptation of a Chemical-Kinetic ODE Solver (MACKS) - for solving stiff ODEs pertaining to chemical-kinetics is proposed herein. The MACKS formulation is based…