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A general method to generate a centrosymmetric matrix associated with the solving of partial differential equation (PDE) on an irreducible domain by means of a linear equation system is proposed. The method applies to any PDE for which both…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…
We propose a collocation method based on multivariate polynomial splines over triangulation or tetrahedralization for the numerical solution of partial differential equations. We start with a detailed explanation of the method for the…
We present a novel method for using Neural Networks (NNs) for finding solutions to a class of Partial Differential Equations (PDEs). Our method builds on recent advances in Neural Radiance Field research (NeRFs) and allows for a NN to…
A sequential piecewise linear programming method is presented where bounded domains of non-convex functions are successively contracted about the solution of a piecewise linear program at each iteration of the algorithm. Although…
Semi-Lagrangian methods are numerical methods designed to find approximate solutions to particular time-dependent partial differential equations (PDEs) that describe the advection process. We propose semi-Lagrangian one-step methods for…
We obtain improved regularity results for solutions to a nonlocal dead-core problem at branching points. Our approach, which does not rely on the maximum principle, introduces a new strategy for analyzing two-phase problems within the local…
The numerical solution of high dimensional partial differential equations (PDEs) is severely constrained by the curse of dimensionality (CoD), rendering classical grid--based methods impractical beyond a few dimensions. In recent years,…
This paper develops meshless methods for probabilistically describing discretisation error in the numerical solution of partial differential equations. This construction enables the solution of Bayesian inverse problems while accounting for…
High dimensional and/or nonconvex optimization remains a challenging and important problem across a wide range of fields, such as machine learning, data assimilation, and partial differential equation (PDE) constrained optimization. Here we…
Stochastic solutions not only provide new rigorous results for nonlinear pde's but also, through its local non-grid nature, are a natural tool for parallel computation. There are two methods to construct stochastic solutions: the McKean…
It is shown that large classes of nonlinear systems of PDEs, with possibly associated initial and/or boundary value problems, can be solved by the method of order completion. The solutions obtained can be assimilated with Hausdorff…
We show how to extract alternative solutions for optimization problems solved by Benders Decomposition. In practice, alternative solutions provide useful insights for complex applications; some solvers do support generation of alternative…
Using the rudiments of pde jets theory in a nonstandard setting, we first deepen and extend previous nonstandard existence results for generalized solutions of linear differential equations and second extend the previous results for linear…
As an alternative to PINNs, a Deep Ritz framework is proposed to solve fully nonlinear PDEs. A least-squares algorithm is advocated to decouple the nonlinearities from the variational features of several fully nonlinear PDEs. A splitting…
Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the "curse of dimensionality". This paper…
Current state-of-the-art methods for solving discrete optimization problems are usually restricted to convex settings. In this paper, we propose a general approach based on cutting planes for solving nonlinear, possibly nonconvex, binary…
Stochastic branching algorithms provide a useful alternative to grid-based schemes for the numerical solution of partial differential equations, particularly in high-dimensional settings. However, they require a strict control of the…
We introduce a generic numerical schemes for fully nonlinear parabolic PDEs on the full domain, where the nonlinearity is convex on the Hessian of the solution. The main idea behind this paper is reduction of a fully nonlinear problem to a…
We overview a series of recent works addressing numerical simulations of partial differential equations in the presence of some elements of randomness. The specific equations manipulated are linear elliptic, and arise in the context of…