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Metropolized integrators for ergodic stochastic differential equations (SDE) are proposed which (i) are ergodic with respect to the (known) equilibrium distribution of the SDE and (ii) approximate pathwise the solutions of the SDE on finite…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of the…
Recently a majorization method for optimizing partition functions of log-linear models was proposed alongside a novel quadratic variational upper-bound. In the batch setting, it outperformed state-of-the-art first- and second-order…
In this work, we show the consistency of an approach for solving robust optimization problems using sequences of sub-problems generated by ergodic measure preserving transformations. The main result of this paper is that the minimizers and…
Here we present a very efficient method to search for Liouvillian first integrals of second order rational ordinary differential equations (rational 2ODEs). This new algorithm can be seen as an improvement to the S-function method we have…
In this study, we introduce a refined method for ascertaining error estimations in numerical simulations of dynamical systems via an innovative application of composition techniques. Our approach involves a dual application of a basic…
Operator-splitting methods are widely used to solve differential equations, especially those that arise from multi-scale or multi-physics models, because a monolithic (single-method) approach may be inefficient or even infeasible. The most…
Contemporary electricity distribution systems are being challenged by the variability of renewable energy sources. Slow response times and long energy management periods cannot efficiently integrate intermittent renewable generation and…
In this paper, we study the problem of computing the effective diffusivity for particles moving in chaotic flows. Instead of solving a convection-diffusion type cell problem in the Eulerian formulation (arising from homogenization theory…
As the complexity and heterogeneity of a system grows, the challenge of specifying, documenting and synthesizing correct, machine-readable designs increases dramatically. Separation of the system into manageable parts is needed to support…
In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and locally refined space-grid. The performance of our…
In this paper, we develop new high-order numerical methods for hyperbolic systems of nonlinear partial differential equations (PDEs) with uncertainties. The new approach is realized in the semi-discrete finite-volume framework and is based…
A recently new intelligent optimization algorithm called discrete state transition algorithm is considered in this study, for solving unconstrained integer optimization problems. Firstly, some key elements for discrete state transition…
This paper is concerned with the theory, construction and application of variable-stepsize implicit Peer two-step methods that are super-convergent for variable stepsizes, i.e., preserve their classical order achieved for uniform stepsizes…
In a recent paper we presented a new ultra efficient numerical method for solving kinetic equations of the Boltzmann type (G. Dimarco, R. Loubere, Towards an ultra efficient kinetic scheme. Part I: basics on the 689 BGK equation, J. Comp.…
In this work, we provide a deep investigation of a family of arbitrary high order numerical methods for hyperbolic partial differential equations (PDEs), with particular emphasis on very high order versions, i.e., with order higher than 5.…
There is a rising interest in Spatio-temporal systems described by Partial Differential Equations (PDEs) among the control community. Not only are these systems challenging to control, but the sizing and placement of their actuation is an…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…
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…
Explicit stabilized methods are highly efficient time integrators for large and stiff systems of ordinary differential equations especially when applied to semi-discrete parabolic problems. However, when local spatial mesh refinement is…