Related papers: Discretization of functionals involving the Monge-…
This paper focuses on a similarity measure, known as the Wasserstein distance, with which to compare images. The Wasserstein distance results from a partial differential equation (PDE) formulation of Monge's optimal transport problem. We…
The JKO scheme is a time-discrete scheme of implicit Euler type that allows to construct weak solutions of evolution PDEs which have a Wasserstein gradient structure. The purpose of this work is to study the effect of replacing the…
In this work we propose a discretization of the second boundary condition for the Monge-Ampere equation arising in geometric optics and optimal transport. The discretization we propose is the natural generalization of the popular…
In this paper, we propose a monotone mixed finite difference scheme for solving the two-dimensional Monge-Amp\`ere equation. In order to accomplish this, we convert the Monge-Amp\`ere equation to an equivalent Hamilton-Jacobi-Bellman (HJB)…
In this paper, we study the eigenvalue problem for the Monge-Amp\`ere operator on general bounded convex domains. We prove the existence, uniqueness and variational characterization of the Monge-Amp\`ere eigenvalue. The convex…
We study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein distance to a reference random vector. We give conditions when…
We consider a non-standard finite-volume discretization of a strongly non-linear fourth order diffusion equation on the $d$-dimensional cube, for arbitrary $d \geq 1$. The scheme preserves two important structural properties of the…
In this paper we propose optimisation methods for variational regularisation problems based on discretising the inverse scale space flow with discrete gradient methods. Inverse scale space flow generalises gradient flows by incorporating a…
We prove the existence of weak solutions to a system of two diffusion equations that are coupled by a pointwise volume constraint. The time evolution is given by gradient dynamics for a free energy functional. Our primary example is a model…
We study the contraction in Wasserstein distance of the coordinate ascent variational inference algorithm. This is shown to hold under a transport-information inequality at the fixed points and a functional smoothness condition. The results…
We construct an importance sampling method for computing statistics related to rare events for weakly interacting diffusions. Standard Monte Carlo methods behave exponentially poorly with the number of particles in the system for such…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
We construct a new random probability measure on the sphere and on the unit interval which in both cases has a Gibbs structure with the relative entropy functional as Hamiltonian. It satisfies a quasi-invariance formula with respect to the…
We propose and analyze numerical schemes for the gradient flow of $Q$-tensor with the quasi-entropy. The quasi-entropy is a strictly convex, rotationally invariant elementary function, giving a singular potential constraining the…
In this paper, we study the problem of sampling from a distribution under the constraint of differential privacy (DP). Prior works measure the utility of DP sampling with density ratio-based measures such as KL divergence. However, such…
We study the systematic numerical approximation of a class of Allen-Cahn type problems modeling the motion of phase interfaces. The common feature of these models is an underlying gradient flow structure which gives rise to a decay of an…
The Poisson-Nernst-Planck system of equations used to model ionic transport is interpreted as a gradient flow for the Wasserstein distance and a free energy in the space of probability measures with finite second moment. A variational…
Discretized Langevin diffusions are efficient Monte Carlo methods for sampling from high dimensional target densities that are log-Lipschitz-smooth and (strongly) log-concave. In particular, the Euclidean Langevin Monte Carlo sampling…
In this paper we continue the analysis of the two-scale method for the Monge-Amp\`ere equation for dimension $d \geq 2$ introduced in [10]. We prove continuous dependence of discrete solutions on data that in turn hinges on a discrete…
We present a finite element scheme for fractional diffusion problems with varying diffusivity and fractional order. We consider a symmetric integral form of these nonlocal equations defined on general geometries and in arbitrary bounded…