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Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately…

Computational Finance · Quantitative Finance 2019-02-13 Kathrin Glau , Daniel Kressner , Francesco Statti

A general adaptive refinement strategy for solving linear elliptic partial differential equation with random data is proposed and analysed herein. The adaptive strategy extends the a posteriori error estimation framework introduced by…

Numerical Analysis · Mathematics 2022-08-23 Alex Bespalov , David Silvester , Feng Xu

We consider a simple initial-boundary-value problem for the shallow water equations in one space dimension, and also the analogous problem for a symmetric variant of the system. Assuming smoothness of solutions, we discretize these problems…

Numerical Analysis · Mathematics 2014-11-26 D. C. Antonopoulos , V. A. Dougalis

Low-rankness plays an important role in traditional machine learning, but is not so popular in deep learning. Most previous low-rank network compression methods compress networks by approximating pre-trained models and re-training. However,…

Computer Vision and Pattern Recognition · Computer Science 2024-08-15 Kailing Guo , Zhenquan Lin , Canyang Chen , Xiaofen Xing , Fang Liu , Xiangmin Xu

In many recent applications when new materials and technologies are developed it is important to describe and simulate new nonlinear and nonlocal diffusion transport processes. A general class of such models deals with nonlocal fractional…

Numerical Analysis · Mathematics 2024-12-20 Raimondas Ciegis , Petr Vabishchevich

The state-of-the art proof of a global inf-sup condition on mixed finite element schemes does not allow for an analysis of truly indefinite, second-order linear elliptic PDEs. This paper, therefore, first analyses a nonconforming finite…

Numerical Analysis · Mathematics 2014-01-21 Carsten Carstensen , Asha K. Dond , Neela Nataraj , Amiya K. Pani

In this work, we introduce an interior-point method that employs tensor decompositions to efficiently represent and manipulate the variables and constraints of semidefinite programs, targeting problems where the solutions may not be…

Optimization and Control · Mathematics 2025-09-16 Frederik Kelbel , Sergey Dolgov , Dante Kalise , Alessandra Russo

We consider an iteration method for solving an elliptic type boundary value problem $\mathcal{A} u=f$, where a positive definite operator $\mathcal{A}$ is generated by a quasi--periodic structure with rapidly changing coefficients (typical…

Numerical Analysis · Mathematics 2017-01-03 B. Khoromskij , S. Repin

The low-rank matrix reconstruction (LRMR) approach is widely used in direction-of-arrival (DOA) estimation. As the rank norm penalty in an LRMR is NP-hard to compute, the nuclear norm (or the trace norm for a positive semidefinite (PSD)…

Information Theory · Computer Science 2017-12-07 Xiaohuan Wu , Wei-Ping Zhu , Jun Yan

We derive a posteriori error estimates in the $L_\infty((0,T];L_\infty(\Omega))$ norm for approximations of solutions to linear para bolic equations. Using the elliptic reconstruction technique introduced by Makridakis and Nochetto and heat…

Numerical Analysis · Mathematics 2011-04-06 Alan Demlow , Omar Lakkis , Charalambos Makridakis

This paper provides a new regularization method which is particularly suitable for linear exponentially ill-posed problems. Under logarithmic source conditions (which have a natural interpretation in terms of Sobolev spaces in the…

Numerical Analysis · Mathematics 2020-07-08 Walter Cedric Simo Tao Lee

In the context of unfitted finite element discretizations the realization of high order methods is challenging due to the fact that the geometry approximation has to be sufficiently accurate. Recently a new unfitted finite element method…

Numerical Analysis · Mathematics 2017-09-01 Christoph Lehrenfeld , Arnold Reusken

This paper studies an optimal control problem governed by a semilinear elliptic equation, in which the control acts in a multiplicative or bilinear way as the reaction coefficient of the equation. We focus on the numerical discretization of…

Optimization and Control · Mathematics 2025-06-25 Eduardo Casas , Konstantinos Chrysafinos , Mariano Mateos

The aim of this paper is to obtain a posteriori error bounds of optimal order in time and space for the linear second-order wave equation discretized by the Newmark scheme in time and the finite element method in space. Error estimates are…

Numerical Analysis · Mathematics 2017-09-22 Olga Gorynina , Alexei Lozinski , Marco Picasso

We investigate the numerical approximation of an elliptic optimal control problem which involves a nonconvex local regularization of the $L^q$-quasinorm penalization (with $q\in(0,1)$) in the cost function. Our approach is based on the…

Optimization and Control · Mathematics 2022-09-26 Pedro Merino , Alexander Nenjer

The purpose of this work is the study of solution techniques for problems involving fractional powers of symmetric coercive elliptic operators in a bounded domain with Dirichlet boundary conditions. These operators can be realized as the…

Numerical Analysis · Mathematics 2013-02-05 Ricardo H. Nochetto , Enrique Otarola , Abner J. Salgado

In the theory and practice of inverse problems for partial differential equations (PDEs) much attention is paid to the problem of the identification of coefficients from some additional information. This work deals with the problem of…

Numerical Analysis · Computer Science 2013-04-23 P. N. Vabishchevich , V. I. Vasil'ev

The numerical solution of partial differential equations on high-dimensional domains gives rise to computationally challenging linear systems. When using standard discretization techniques, the size of the linear system grows exponentially…

Numerical Analysis · Mathematics 2015-08-13 Daniel Kressner , Michael Steinlechner , Bart Vandereycken

A space-time-parameters structure of parametric parabolic PDEs motivates the application of tensor methods to define reduced order models (ROMs). Within a tensor-based ROM framework, the matrix SVD - a traditional dimension reduction…

Numerical Analysis · Mathematics 2024-08-22 Alexander V. Mamonov , Maxim A. Olshanskii

Efficient algorithms for the sparse solution of under-determined linear systems $Ax = b$ are known for matrices $A$ satisfying suitable assumptions like the restricted isometry property (RIP). Without such assumptions little is known and…

Machine Learning · Computer Science 2021-01-22 G. Welper
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