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A new method for solving numerically stochastic partial differential equations (SPDEs) with multiple scales is presented. The method combines a spectral method with the heterogeneous multiscale method (HMM) presented in [W. E, D. Liu, and…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
We present a convergence rate analysis for biased stochastic gradient descent (SGD), where individual gradient updates are corrupted by computation errors. We develop stochastic quadratic constraints to formulate a small linear matrix…
We introduce a closed-form expansion for the transition density of elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs), over a period $\Delta\in (0,1)$, in terms of powers of $\Delta^{j/2}$, $j\ge 0$. Our…
The performance of electron energy-loss spectrometers can often be limited by their electron-optical aberrations. Due to recent developments in high energy-resolution and momentum-resolved electron energy loss spectroscopy (EELS), there is…
It is well established that multiple reference sets may occur for a decision making unit (DMU) in the non-radial DEA (data envelopment analysis) setting. As our first contribution, we differentiate between three types of reference set.…
Diffusion models with continuous stochastic differential equations (SDEs) have shown superior performances in image generation. It can serve as a deep generative prior to solving the inverse problem in magnetic resonance (MR)…
The convergence of stochastic gradient descent is highly dependent on the step-size, especially on non-convex problems such as neural network training. Step decay step-size schedules (constant and then cut) are widely used in practice…
Many natural and engineered dynamical systems, including all living objects, exhibit signatures of what can be called spontaneous dynamical long-range order (DLRO). This order's omnipresence has long been recognized by the scientific…
This paper discusses the transition to fast growth of the tearing instability in thin current sheets in the collisionless limit where electron inertia drives the reconnection process. It has been previously suggested that in resistive MHD…
We describe the numerical scheme for the discretization and solution of 2D elliptic equations with strongly varying piecewise constant coefficients arising in the stochastic homogenization of multiscale composite materials. An efficient…
This chapter aspires to glean some of the recent advances in power system state estimation (PSSE), though our collection is not exhaustive by any means. The Cram{\'e}r-Rao bound, a lower bound on the (co)variance of any unbiased estimator,…
We propose a higher-order dimensionality reduction framework based on the Trace Ratio (TR) optimization problem. We establish conditions for existence and uniqueness of solutions and clarify the theoretical connection between the Trace…
An important estimation problem that is closely related to large-scale multiple testing is that of estimating the null density and the proportion of nonnull effects. A few estimators have been introduced in the literature; however, several…
The recent literature on first order methods for smooth optimization shows that significant improvements on the practical convergence behaviour can be achieved with variable stepsize and scaling for the gradient, making this class of…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
A probabilistic approach of computing geometric rate of convergence of stochastic processes is introduced in this paper. The goal is to quantitatively compute both upper and lower bounds of the exponential rate of convergence to the…
In the power system, state estimation (SE) is important monitoring task for the reliable operation of the system. The optimal estimate from the SE is delivered to all EMS application such as fault analysis, automatic generation control.…
Diffusion-based approaches have recently driven remarkable progress in real-world image super-resolution (SR). However, existing methods still struggle to simultaneously preserve fine details and ensure high-fidelity reconstruction, often…
Consider convex optimization problems subject to a large number of constraints. We focus on stochastic problems in which the objective takes the form of expected values and the feasible set is the intersection of a large number of convex…