Related papers: Dynamic Initial Margin via Chebyshev Tensors
This paper is devoted to the investigation of inertial dynamical systems with implicit Hessian-driven damping for strongly quasiconvex optimization which is a specific class of nonconvex optimization problems. We first establish exponential…
We present results from consistent dynamo simulations, where the electrically conducting and incompressible flow inside a cylinder vessel is forced by moving impellers numerically implemented by a penalization method. The numerical scheme…
The theory of slow invariant manifolds (SIMs) is the foundation of various model-order reduction techniques for dissipative dynamical systems with multiple time-scales, e.g. in chemical kinetic models. The construction of SIMs and many…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
We present the Incremental Generative Monte Carlo (IGMC) method, designed to measure uncertainty in deep neural networks using deep generative approaches. IGMC iteratively trains generative models, adding their output to the dataset, to…
An efficient, joint transmission delay and channel parameter estimation algorithm is proposed for uplink asynchronous direct-sequence code-division multiple access (DS-CDMA) systems based on the space-alternating generalized expectation…
The Direct Simulation Monte Carlo (DSMC) method, developed originally to calculate rarefied gas dynamical problems, is applied to continuous flow including shocks assuming that the Knudsen number is sufficiently small. In particular, we…
Estimating the probabilities of rare failure events is a key challenge in the reliability analysis of physical systems. Subset simulation (SS) is a very popular adaptive Monte Carlo method for this problem. In SS, the small failure…
This paper proposes an innovative state estimation method for visual-inertial fusion based on Chebyshev polynomial optimization. Specifically, the pose is modeled as a Chebyshev polynomial of a certain order, and its time derivatives are…
Current nonequilibrium Monte Carlo methods suffer from a dynamical sign problem that makes simulating real-time dynamics for long times exponentially hard. We propose a new `Inchworm Algorithm', based on iteratively reusing information…
Many quantum technologies rely on high-precision dynamics, which raises the question of how these are influenced by the experimental uncertainties that are always present in real-life settings. A standard approach in the literature to…
Learning models for dynamical systems in continuous time is significant for understanding complex phenomena and making accurate predictions. This study presents a novel approach utilizing differential neural networks (DNNs) to model…
Bayesian parameter inference for complex stochastic simulators is challenging due to intractable likelihood functions. Existing simulation-based inference methods often require large number of simulations and become costly to use in…
Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…
Using the tools of the Markov Decision Processes, we justify the dynamic programming approach to the optimal impulse control of deterministic dynamical systems. We prove the equivalence of the integral and differential forms of the…
Risk-sensitive planning aims to identify policies maximizing some tail-focused metrics in Markov Decision Processes (MDPs). Such an optimization task can be very costly for the most widely used and interpretable metrics such as threshold…
The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies considered only linear interactions between the economy and…
We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using and adapting some results from Zhang [22], together with the…
We study an algorithm which has been proposed by Chinesta et al. to solve high-dimensional partial differential equations. The idea is to represent the solution as a sum of tensor products and to compute iteratively the terms of this sum.…
Existing online continuous-time parameter estimation laws provide exact (asymptotic/exponential or finite/fixed time) identification of dynamical linear/nonlinear systems parameters only if the external perturbations are equaled to zero or…