Related papers: Hybrid collocation perturbation for PDEs with rand…
It is known that standard stochastic Galerkin methods face challenges when solving partial differential equations (PDEs) with random inputs. These challenges are typically attributed to the large number of required physical basis functions…
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new probabilistic learning scheme for solving high-dimensional…
We describe a variational approximation method for efficient inference in large-scale probabilistic models. Variational methods are deterministic procedures that provide approximations to marginal and conditional probabilities of interest.…
We consider a class of parameter-dependent optimal control problems of elliptic PDEs with constraints of general type on the control variable. Applying the concept of variational discretization, [4], together with techniques from the…
We briefly review the diagonalization of quantum Hamiltonians using the quasi-sparse eigenvector (QSE) method. We also introduce the technique of stochastic error correction, which systematically removes the truncation error of the QSE…
A hybrid stochastic-deterministic approach for computing the second-order perturbative contribution $E^{(2)}$ within multireference perturbation theory (MRPT) is presented. The idea at the heart of our hybrid scheme --- based on a…
We consider parabolic PDEs with randomly switching boundary conditions. In order to analyze these random PDEs, we consider more general stochastic hybrid systems and prove convergence to, and properties of, a stationary distribution.…
This paper proves joint convergence of the approximation error for several stochastic integrals with respect to local Brownian semimartingales, for nonequidistant and random grids. The conditions needed for convergence are that the Lebesgue…
In this paper, we investigate the problem of strong approximation of the solutions of stochastic differential equations (SDEs) when the drift coefficient is given in integral form. We investigate its upper error bounds, in terms of the…
Conservation laws in the form of elliptic and parabolic partial differential equations (PDEs) are fundamental to the modeling of many problems such as heat transfer and flow in porous media. Many of such PDEs are stochastic due to the…
Distributed optimization plays an important role in modern large-scale machine learning and data processing systems by optimizing the utilization of computational resources. One of the classical and popular approaches is Local Stochastic…
This paper deals with the homogenization problem of one-dimensional pseudo-elliptic equations with a rapidly varying random potential. The main purpose is to characterize the homogenization error (random fluctuations), i.e., the difference…
A high-order accurate adjoint-based optimization framework is presented for unsteady multiphysics problems. The fully discrete adjoint solver relies on the high-order, linearly stable, partitioned solver introduced in [1], where different…
In this paper, neural network approximation methods are developed for elliptic partial differential equations with multi-frequency solutions. Neural network work approximation methods have advantages over classical approaches in that they…
In this paper, we present approximation algorithms for combinatorial optimization problems under probabilistic constraints. Specifically, we focus on stochastic variants of two important combinatorial optimization problems: the k-center…
Logistic regression involving high-dimensional covariates is a practically important problem. Often the goal is variable selection, i.e., determining which few of the many covariates are associated with the binary response. Unfortunately,…
Partial differential equation (PDE) models with multiple temporal/spatial scales are prevalent in several disciplines such as physics, engineering, and many others. These models are of great practical importance but notoriously difficult to…
This work proposes and analyzes a generalized acceleration technique for decreasing the computational complexity of using stochastic collocation (SC) methods to solve partial differential equations (PDEs) with random input data. The SC…
We adapt and study a variance reduction approach for the homogenization of elliptic equations in divergence form. The approach, borrowed from atomistic simulations and solid-state science [von Pezold et al, Physical Review B 2010; Wei et…
Realistic physical phenomena exhibit random fluctuations across many scales in the input and output processes. Models of these phenomena require stochastic PDEs. For three-dimensional coupled (vector-valued) stochastic PDEs (SPDEs), for…