Related papers: Simple, Fast and Accurate Implementation of the Di…

Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…

A position-dependent stochastic diffusion model of gating in ion channels is developed by considering the spatial variation of the diffusion coefficient between the closed and open states. It is assumed that a sensor which regulates the…

We study the Stochastic Gradient Descent (SGD) method in nonconvex optimization problems from the point of view of approximating diffusion processes. We prove rigorously that the diffusion process can approximate the SGD algorithm weakly…

Diffusion models have achieved huge empirical success in data generation tasks. Recently, some efforts have been made to adapt the framework of diffusion models to discrete state space, providing a more natural approach for modeling…

When simulating multiscale stochastic differential equations (SDEs) in high-dimensions, separation of timescales, stochastic noise and high-dimensionality can make simulations prohibitively expensive. The computational cost is dictated by…

In this paper, we tackle for the first time the problem of maximum likelihood (ML) estimation of the signal-to-noise ratio (SNR) parameter over time-varying single-input multiple-output (SIMO) channels. Both the data-aided (DA) and the…

We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…

In developing efficient optimization algorithms, it is crucial to account for communication constraints -- a significant challenge in modern Federated Learning. The best-known communication complexity among non-accelerated algorithms is…

Stochastic differential equations (SDEs) describe dynamical systems where deterministic flows, governed by a drift function, are superimposed with random fluctuations, dictated by a diffusion function. The accurate estimation (or discovery)…

In this paper, we propose a dynamically low-dimensional approximation method to solve a class of time-dependent multiscale stochastic diffusion equations. A dynamically bi-orthogonal (DyBO) method was developed to explore low-dimensional…

We consider the distributed optimization problem where $n$ agents each possessing a local cost function, collaboratively minimize the average of the $n$ cost functions over a connected network. Assuming stochastic gradient information is…

This work aims to estimate the drift and diffusion functions in stochastic differential equations (SDEs) driven by a particular class of L\'evy processes with finite jump intensity, using neural networks. We propose a framework that…

Moment approximation methods are gaining increasing attention for their use in the approximation of the stochastic kinetics of chemical reaction systems. In this paper we derive a general moment expansion method for any type of propensities…

Modern parabolic equation (PE) methods for wave propagation rely on application of a variety of fractional-powered differential operators. Rational approximations of these operators need to properly map their spectra onto the complex plane,…

Stochastic dynamics on sparse graphs and disordered systems often lead to complex behaviors characterized by heterogeneity in time and spatial scales, slow relaxation, localization, and aging phenomena. The mathematical tools and…

We used various analytical and numerical techniques to elucidate signal propagation in a small enzymatic cascade which is subjected to external and internal noise. The nonlinear character of catalytic reactions, which underlie protein…

Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…

This work proposes stochastic partial differential equations (SPDEs) as a practical tool to replicate clustering effects of more detailed particle-based dynamics. Inspired by membrane-mediated receptor dynamics on cell surfaces, we…

Uncertainty propagation in non-linear dynamical systems has become a key problem in various fields including control theory and machine learning. In this work we focus on discrete-time non-linear stochastic dynamical systems. We present a…

We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time…