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We present stochastic variants of the exponential time differencing schemes for stiff stochastic differential equations. We derive three explicit schemes that offer better stability compared to Euler-Maruyama and Milstein's method, and…
We develop a geometric framework for the numerical integration of mechanical systems evolving on manifolds. After briefly reviewing classical numerical methods and highlighting their limitations and shortcomings in non-flat (non-Euclidean)…
The shearing sheet is a model dynamical system that is used to study the small-scale dynamics of astrophysical disks. Numerical simulations of particle trajectories in the shearing sheet usually employ the leapfrog integrator, but this…
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are…
Formulated is a new systematic method for obtaining higher order corrections in numerical simulation of stochastic differential equations (SDEs), i.e., Langevin equations. Random walk step algorithms within a given order of finite $\Delta…
We introduce the $\star_G$ tensor algebra, in which any finite group $G$ defines the multiplication rule, making equivariance an intrinsic algebraic property rather than an architectural constraint. The framework rests on three…
While symplectic integration methods based on operator splitting are well established in many branches of science, high order methods for Hamiltonian systems that split in more than two parts have not been studied in great detail. Here, we…
We address the problem of constructing numerical integrators for nonholonomic Lagrangian systems that enjoy appropriate discrete versions of the geometric properties of the continuous flow, including the preservation of energy. Building on…
Non-convex optimization plays a key role in a growing number of machine learning applications. This motivates the identification of specialized structure that enables sharper theoretical analysis. One such identified structure is…
In this article an interpretation and a proof of some classical \\theorems in analysis on the integration of analytic vectors fields are derived from the algebraic method of realization of bialgebras which are constructed with the data of a…
A new (in)finite dimensional algebra which is a fundamental dynamical symmetry of a large class of (continuum or lattice) quantum integrable models is introduced and studied in details. Finite dimensional representations are constructed and…
In recent publications, the construction of explicit symplectic integrators for Schwarzschild and Kerr type spacetimes is based on splitting and composition methods for numerical integrations of Hamiltonians or time-transformed Hamiltonians…
Explicit stabilized methods are an efficient alternative to implicit schemes for the time integration of stiff systems of differential equations in large dimension. In this paper, we derive explicit stabilized integrators of orders one and…
Since the seminal work by Nagel and Weiss, the iteration stable (STIT) tessellations have attracted considerable interest in stochastic geometry as a natural and flexible, yet analytically tractable model for hierarchical spatial…
Best subset selection is considered the `gold standard' for many sparse learning problems. A variety of optimization techniques have been proposed to attack this non-smooth non-convex problem. In this paper, we investigate the dual forms of…
The aim of these notes is to present an accessible overview of some topics in classical algebraic geometry which have applications to aspects of discrete integrable systems. Precisely, we focus on surface theory on the algebraic geometry…
Multilevel techniques are efficient approaches for solving the large linear systems that arise from discretized partial differential equations and other problems. While geometric multigrid requires detailed knowledge about the underlying…
We consider the numerical approximation of general semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive space-time noise. In contrast to the standard time stepping methods which uses basic increments of…
Geometric integrators for nonholonomic systems were introduced by Cort\'es and Mart\'inez in [Nonholonomic integrators, Nonlinearity, 14, 2001] by proposing a discrete Lagrange-D'Alembert principle. Their approach is based on the definition…
In this paper, we investigate the strong convergence analysis of parareal algorithms for stochastic Maxwell equations with the damping term driven by additive noise. The proposed parareal algorithms proceed as two-level temporal…