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This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
In the Small Cuts Cover problem we seek to cover by a min-cost edge-set the set family of cuts of size/capacity $<k$ of a graph. Recently, Simmons showed that the primal-dual algorithm of Williamson, Goemans, Mihail, and Vazirani achieves…
The accuracy of the free-surface lattice Boltzmann method (FSLBM) depends significantly on the boundary condition employed at the free interface. Ideally, the chosen boundary condition balances the forces exerted by the liquid and gas…
Some approach to the solution of boundary value problems for finding functions, which are analytical in a wedge, is proposed. If the ratio of the angle at the wedge vertex to a number \pi is rational, then the boundary value problem is…
Time fractional advection-dispersion equations arise as generalizations of classical integer order advection-dispersion equations and are increasingly used to model fluid flow problems through porous media. In this paper we develop an…
We consider a wide class of linear boundary-value problems for systems of $r$-th order ordinary differential equations whose solutions range over the normed complex space $(C^{(n)})^m$ of $n\geq r$ times continuously differentiable…
This paper is on further development of discrete complex analysis introduced by R. Isaacs, J. Ferrand, R. Duffin, and C. Mercat. We consider a graph lying in the complex plane and having quadrilateral faces. A function on the vertices is…
In this paper we consider the numerical approximation of the two-phase membrane (obstacle) problem by finite difference method. First, we introduce the notion of viscosity solution for the problem and construct certain discrete nonlinear…
We introduce a numerical method for the approximation of functions which are analytic on compact intervals, except at the endpoints. This method is based on variable transforms using particular parametrized exponential and…
The focus in this paper is interior-point methods for bound-constrained nonlinear optimization, where the system of nonlinear equations that arise are solved with Newton's method. There is a trade-off between solving Newton systems…
We consider a wide class of linear boundary-value problems for systems of $m$ ordinary differential equations of order $r$, known as general boundary-value problems. Their solutions $y:[a,b]\to \mathbb{C}^{m}$ belong to the Sobolev space…
The homotopy analysis method is studied in the present paper. The question of convergence of the homotopy analysis method is resolved. It is proven that under a special constraint the homotopy analysis method does converge to the exact…
A method is presented for the analytical evaluation of the singular and near-singular integrals arising in the Boundary Element Method solution of the Helmholtz equation. An error analysis is presented for the numerical evaluation of such…
Accelerated proximal gradient methods have recently been developed for solving quasi-static incremental problems of elastoplastic analysis with some different yield criteria. It has been demonstrated through numerical experiments that these…
In this work, we propose derivative-free framework for bilevel optimization. We consider both the upper and lower-level problems with bound constraints on the variables, as well as general nonlinear constraints, assuming that first-order…
Exact solutions of a classical problem of a plane unsteady potential flow of an ideal incompressible fluid with a free boundary are presented. The fluid occupies a semi-infinite strip bounded by the free surface (from above) and (from the…
This work provides a comparison principle for viscosity solutions to boundary value problems on (partially) bounded, cylindrical spaces. The comparison principle is based on a test function framework, that allows for the simultaneous…
The approximate degree of a Boolean function $f: \{-1, 1\}^n \to \{-1, 1\}$ is the minimum degree of a real polynomial that approximates $f$ to within error $1/3$ in the $\ell_\infty$ norm. In an influential result, Aaronson and Shi (J. ACM…
We develop fast approximation algorithms for the minimum-cost version of the Bounded-Degree MST problem (BD-MST) and its generalization the Crossing Spanning Tree problem (Crossing-ST). We solve the underlying LP to within a $(1+\epsilon)$…
Many important physical problems, such as fluid structure interaction or conjugate heat transfer, require numerical methods that compute boundary derivatives or fluxes to high accuracy. This paper proposes a novel alternative to calculating…