Related papers: Projection based dimensionality reduction for meas…
In this paper, we propose a novel method to approximate the mean field stochastic differential equation by means of approximating the density function via Fokker-Planck equation. We construct a well-posed truncated Fokker-Planck equation…
This paper is concerned with a modified entropy method to establish the large-time convergence towards the (unique) steady state, for kinetic Fokker-Planck equations with non-quadratic confinement potentials in whole space. We extend…
The time evolution of the probability distribution of a stochastic differential equation follows the Fokker-Planck equation, which usually has an unbounded, high-dimensional domain. Inspired by our early study in \cite{li2018data}, we…
Gradient-based dimension reduction decreases the cost of Bayesian inference and probabilistic modeling by identifying maximally informative (and informed) low-dimensional projections of the data and parameters, allowing high-dimensional…
We introduce two derivative-free projection methods for large-scale systems of nonlinear monotone equations subject to convex constraints. Both methods incorporate an adaptive spectral parameter into established conjugate gradient…
We demonstrate a method which allows the stochastic modelling of quantum systems for which the generalised Fokker-Planck equation in the phase space contains derivatives of higher than second order. This generalises quantum stochastics far…
We develop finite element methods for coupling the steady-state Onsager--Stefan--Maxwell equations to compressible Stokes flow. These equations describe multicomponent flow at low Reynolds number, where a mixture of different chemical…
Solving the Fokker-Planck equation for high-dimensional complex turbulent dynamical systems is an important and practical issue. However, most traditional methods suffer from the curse of dimensionality and have difficulties in capturing…
Model reduction of high-dimensional dynamical systems alleviates computational burdens faced in various tasks from design optimization to model predictive control. One popular model reduction approach is based on projecting the governing…
Approximating a function with a finite series, e.g., involving polynomials or trigonometric functions, is a critical tool in computing and data analysis. The construction of such approximations via now-standard approaches like least squares…
Computational fluctuating hydrodynamics aims at understanding the impact of thermal fluctuations on fluid motions at small scales through numerical exploration. These fluctuations are modeled as stochastic flux terms and incorporated into…
Tensor Factor Models (TFM) are appealing dimension reduction tools for high-order large-dimensional tensor time series, and have wide applications in economics, finance and medical imaging. In this paper, we propose a projection estimator…
Projection-based Reduced Order Models minimize the discrete residual of a "full order model" (FOM) while constraining the unknowns to a reduced dimension space. For problems with symmetric positive definite (SPD) Jacobians, this is…
This work extends the previous quantum projection filtering scheme in [Gao Q., Zhang G., & Petersen I. R. (2019). An exponential quantum projection filter for open quantum systems. \emph{Automatica}, 99, 59-68.], by adding an optimality…
In high-dimensional classification problems, a commonly used approach is to first project the high-dimensional features into a lower dimensional space, and base the classification on the resulting lower dimensional projections. In this…
Diffusion theory establishes a fundamental connection between stochastic differential equations and partial differential equations. The solution of a partial differential equation known as the Fokker-Planck equation describes the…
Shape-constrained inference has wide applicability in bioassay, medicine, economics, risk assessment, and many other fields. Although there has been a large amount of work on monotone-constrained univariate curve estimation, multivariate…
Stochastic reaction networks (SRNs) model stochastic effects for various applications, including intracellular chemical or biological processes and epidemiology. A typical challenge in practical problems modeled by SRNs is that only a few…
We study solution techniques for an evolution equation involving second order derivative in time and the spectral fractional powers, of order $s \in (0,1)$, of symmetric, coercive, linear, elliptic, second-order operators in bounded domains…
We introduce sparse random projection, an important dimension-reduction tool from machine learning, for the estimation of discrete-choice models with high-dimensional choice sets. Initially, high-dimensional data are compressed into a…