Related papers: Componentwise accurate fluid queue computations us…
This paper is concerned with stochastic incompressible Navier-Stokes equations with multiplicative noise in two dimensions with respect to periodic boundary conditions. Based on the Helmholtz decomposition of the multiplicative noise,…
A new approach is proposed to the quantitative estimation of the complexity of multidimensional discrete sequences in terms of the shapes of their trajectories in the extended space of states. This approach is based on the study of the…
A constructive proof of identification of multilinear decompositions of multiway arrays is presented. It can be applied to show identification in a variety of multivariate latent structures. Examples are finite-mixture models and hidden…
In this work, we present a general method to establish properties of multi-dimensional continuous-time Markov chains representing stochastic reaction networks. This method consists of grouping states together (via a partition of the state…
We introduce a discrete time microscopic single particle model for kinetic transport. The kinetics is modeled by a two-state Markov chain, the transport by deterministic advection plus a random space step. The position of the particle after…
This work explores the representation of univariate and multivariate functions as matrix product states (MPS), also known as quantized tensor-trains (QTT). It proposes an algorithm that employs iterative Chebyshev expansions and Clenshaw…
This paper proposes an adaptive variant of Random Early Detection (RED) gateway queue management for packet-switched networks via a discrete state analog of the non-stationary Master Equation i.e. Markov process. The computation of average…
Markov Chain Monte Carlo methods are widely used in signal processing and communications for statistical inference and stochastic optimization. In this work, we introduce an efficient adaptive Metropolis-Hastings algorithm to draw samples…
The Kubo formula is a cornerstone in our understanding of near-equilibrium transport phenomena. While conceptually elegant, the application of Kubo's linear-response theory to interesting problems is hindered by the need for algorithms that…
Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…
We present a linear, second order fully discrete numerical scheme on a staggered grid for a thermodynamically consistent hydrodynamic phase field model of binary compressible fluid flow mixtures derived from the generalized Onsager…
The precise description of quantum nuclear fluctuations in atomistic modelling is possible by employing path integral techniques, which involve a considerable computational overhead due to the need of simulating multiple replicas of the…
Density tracking by quadrature (DTQ) is a numerical procedure for computing solutions to Fokker-Planck equations that describe probability densities for stochastic differential equations (SDEs). In this paper, we extend upon existing…
In this paper, a primal-dual gradient flow algorithm for distributed support vector machines (DSVM) is proposed. A network of computing nodes, each carrying a subset of horizontally partitioned large dataset is considered. The nodes are…
A numerical procedure was developed for solving equations for compressible granular multiphase flows in which the particle volume fraction can range dynamically from very dilute to very dense. The procedure uses a low-dissipation and…
We present the Tensor Train Multiplication (TTM) algorithm for the elementwise multiplication of two tensor trains with bond dimension $\chi$. The computational complexity and memory requirements of the TTM algorithm scale as $\chi^3$ and…
The present paper introduces stochastic velocity as improvement for moving particle semi-implicit (MPS) method. This improvement is to overcome energy loss caused by numerical dissipation in the basic MPS that brings about rapid decay of…
This paper presents a novel algorithm for efficient online estimation of the filter derivatives in general hidden Markov models. The algorithm, which has a linear computational complexity and very limited memory requirements, is furnished…
Finite order Markov models are theoretically well-studied models for dependent discrete data. Despite their generality, application in empirical work when the order is large is rare. Practitioners avoid using higher order Markov models…
Density Matrix Exponentiation is a technique for simulating Hamiltonian dynamics when the Hamiltonian to be simulated is available as a quantum state. In this paper, we present a natural analogue to this technique, for simulating Markovian…