Related papers: Numerical solutions to large-scale differential Ly…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
We suggest and compare different methods for the numerical solution of Lyapunov like equations with application to control of Markovian jump linear systems. First, we consider fixed point iterations and associated Krylov subspace…
This paper addresses the problem of low-rank distance matrix completion. This problem amounts to recover the missing entries of a distance matrix when the dimension of the data embedding space is possibly unknown but small compared to the…
The fundamental matrix and the delay Lyapunov matrix of linear delay difference equations are introduced. Some properties of the Lyapunov matrix, and the jump discontinuities of its derivative are proven, leading to its construction in the…
In this paper, we propose a domain decomposition dynamical low-rank method to solve high-dimensional radiative transfer problems and similar kinetic equations. The algorithm uses a separate low-rank approximation on each spatial subdomain,…
Low-rank Krylov methods are one of the few options available in the literature to address the numerical solution of large-scale general linear matrix equations. These routines amount to well-known Krylov schemes that have been equipped with…
In this paper, we propose a parallel-in-time algorithm for approximately solving parabolic equations. In particular, we apply the $k$-step backward differentiation formula, and then develop an iterative solver by using the waveform…
I offer a simple and useful formula for the resolvent of a small rank perturbation of large matrices. I discuss applications of this formula, in particular, to analytical and numerical solving of difference boundary value problems. I…
In this paper, we propose a novel, computationally efficient reduced order method to solve linear parabolic inverse source problems. Our approach provides accurate numerical solutions without relying on specific training data. The forward…
In this paper, using a pseudospectral approach, we develop operational matrices based on the shifted Chebyshev polynomials to approximate numerically Caputo fractional derivatives and Riemann-Liouville fractional integrals. In order to make…
This paper provides a self-contained ordinary differential equation solver approach for separable convex optimization problems. A novel primal-dual dynamical system with built-in time rescaling factors is introduced, and the exponential…
In this paper we consider the numerical solution of Fractional Differential Equations by means of $m$-step recursions. The construction of such formulas can be obtained in many ways. Here we study a technique based on the rational…
We introduce a new ADI-based low rank solver for $AX-XB=F$, where $F$ has rapidly decaying singular values. Our approach results in both theoretical and practical gains, including (1) the derivation of new bounds on singular values for…
Time bounded reachability is a fundamental problem in model checking continuous-time Markov chains (CTMCs) and Markov decision processes (CTMDPs) for specifications in continuous stochastic logics. It can be computed by numerically solving…
This paper presents new sufficient conditions for convergence and asymptotic or exponential stability of a stochastic discrete-time system, under which the constructed Lyapunov function always decreases in expectation along the system's…
In this paper we propose an algorithm for the numerical solution of arbitrary differential equations of fractional order. The algorithm is obtained by using the following decomposition of the differential equation into a system of…
The solution to partial differential equations using deep learning approaches has shown promising results for several classes of initial and boundary-value problems. However, their ability to surpass, particularly in terms of accuracy,…
A numerical method is developed leading to Lyapunov operators to approximate the solution of two-dimensional Boussinesq equation. It consists of an order reduction method and a finite difference discretization. It is proved to be uniquely…
We present a successive constraint approach that makes it possible to cheaply solve large-scale linear matrix inequalities for a large number of parameter values. The efficiency of our method is made possible by an offline/online…
In this study linear and nonlinear higher order singularly perturbed problems are examined by a numerical approach, the differential quadrature method. Here, the main idea is using Chebyshev polynomials to acquire the weighting coefficient…