Related papers: A comparison between methods of analytical continu…
We introduce a new framework for analyzing (Quasi-}Newton type methods applied to non-smooth optimization problems. The source of randomness comes from the evaluation of the (approximation) of the Hessian. We derive, using a variant of…
Uncertainties have become a major concern in integrated circuit design. In order to avoid the huge number of repeated simulations in conventional Monte Carlo flows, this paper presents an intrusive spectral simulator for statistical circuit…
We consider continuous-time sparse stochastic processes from which we have only a finite number of noisy/noiseless samples. Our goal is to estimate the noiseless samples (denoising) and the signal in-between (interpolation problem). By…
Parameterizing mathematical models of biological systems often requires fitting to stable periodic data. In cardiac electrophysiology this typically requires converging to a stable action potential through long simulations. We explore this…
Bosonic modes are prevalent in all aspects of quantum information processing. However, existing tools for characterizing the quality, stability, and noise properties of bosonic modes are limited, especially in a driven setting. Here, we…
We present a new exact method to numerically compute the thermodynamical properties of an interacting Bose gas in the canonical ensemble. As in our previous paper (Phys. Rev. A, 63 023606 (2001)), we write the density operator $\rho$ as an…
Bayesian optimisation (BO) is widely used to optimise stochastic black box functions. While most BO approaches focus on optimising conditional expectations, many applications require risk-averse strategies and alternative criteria…
Techniques from numerical bifurcation theory are very useful to study transitions between steady fluid flow patterns and the instabilities involved. Here, we provide computational methodology to use parameter continuation in determining…
We consider a doubly stochastic Poisson process with stochastic intensity $\lambda_t =n q\left(X_t\right)$ where $X$ is a continuous It\^o semimartingale and $n$ is an integer. Both processes are observed continuously over a fixed period…
Both Wick-Ito-Skorokhod and Stratonovich interpretations of the parabolic Anderson model (PAM) lead to solutions that are real analytic as functions of the noise intensity e, and, in the limit e->0, the difference between the two solutions…
We present a consistent method to calculate the probability distribution of soliton parameters in systems with additive noise. Even though a weak noise is considered, we are interested in probabilities of large fluctuations (generally…
In this paper, we study asynchronous stochastic approximation algorithms without communication delays. Our main contribution is a stability proof for these algorithms that extends a method of Borkar and Meyn by accommodating more general…
This paper presents a finite difference quasi-Newton method for the minimization of noisy functions. The method takes advantage of the scalability and power of BFGS updating, and employs an adaptive procedure for choosing the differencing…
We describe stochastic Newton and stochastic quasi-Newton approaches to efficiently solve large linear least-squares problems where the very large data sets present a significant computational burden (e.g., the size may exceed computer…
We consider the problem of the estimation of the mean function of an inhomogeneous Poisson process when its intensity function is periodic. For the mean integrated squared error (MISE) there is a classical lower bound for all estimators and…
Multi-time-scale stochastic approximation is an iterative algorithm for finding the fixed point of a set of $N$ coupled operators given their noisy samples. It has been observed that due to the coupling between the decision variables and…
In computational practice, we often encounter situations where only measurements at equally spaced points are available. Using standard polynomial interpolation in such cases can lead to highly inaccurate results due to numerical…
We discuss a semiclassical approach to solve the quantum impurity model within non-equilibrium dynamical mean-field theory for electron-lattice models. The effect of electronic fluctuations on the phonon is kept beyond Ehrenfest dynamics,…
Given a stochastic nonlinear system controlled over a possibly noisy communication channel, the paper studies the largest class of channels for which there exist coding and control policies so that the closed-loop system is stochastically…
Ab initio computation of two-dimensional electronic spectra is an expanding field, whose goal is improving upon simple, few-dimensional models often employed to explain experiments. Here, we propose an accurate and computationally…