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Based on current trends in computer architectures, faster compute speeds must come from increased parallelism rather than increased clock speeds, which are currently stagnate. This situation has created the well-known bottleneck for…
Mathematical models for flow and reactive transport in porous media often involve non-linear, degenerate parabolic equations. Their solutions have low regularity, and therefore lower order schemes are used for the numerical approximation.…
We introduce a scalable approach to Gaussian process inference that combines spatio-temporal filtering with natural gradient variational inference, resulting in a non-conjugate GP method for multivariate data that scales linearly with…
Iterative methods based on matrix splittings are useful in solving large sparse linear systems. In this direction, proper splittings and its several extensions are used to deal with singular and rectangular linear systems. In this article,…
In this paper, we propose a dynamically low-dimensional approximation method to solve a class of time-dependent multiscale stochastic diffusion equations. A dynamically bi-orthogonal (DyBO) method was developed to explore low-dimensional…
We propose and analyze a non-iterative domain decomposition integrator for the linear acoustic wave equation. The core idea is to combine an implicit Crank-Nicolson step on spatial subdomains with a local prediction step at the subdomain…
In this article, we propose a fully-discrete scheme for the numerical solution of a nonlinear time-fractional biharmonic problem. This problem is first converted into an equivalent system by introducing a new variable. Then spatial and…
We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…
Interpolation and smoothing using cubic and generalized splines are fundamental tools in data analysis and statistical modeling. Recently, fast computational algorithms were developed for natural $L$-splines of order four, which arise as…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…
As CPU clock speeds have stagnated, and high performance computers continue to have ever higher core counts, increased parallelism is needed to take advantage of these new architectures. Traditional serial time-marching schemes are a…
In a recent paper we presented a new ultra efficient numerical method for solving kinetic equations of the Boltzmann type (G. Dimarco, R. Loubere, Towards an ultra efficient kinetic scheme. Part I: basics on the 689 BGK equation, J. Comp.…
This paper focuses on providing the computation methods for the backward time tempered fractional Feynman-Kac equation, being one of the models recently proposed in [Wu, Deng, and Barkai, Phys. Rev. E, 84 (2016) 032151]. The discretization…
The aim of this work is to apply a semi-implicit (SI) strategy within a Rosenbrock-type and IMEX linear multistep (LM) framework to a sequence of 1D time-dependent partial differential equations (PDEs) with high order spatial derivatives.…
We consider an implicit finite difference scheme on uniform grids in time and space for the Cauchy problem for a second order parabolic stochastic partial differential equation where the parabolicity condition is allowed to degenerate. Such…
We propose a variational symplectic numerical method for the time integration of dynamical systems issued from the least action principle. We assume a quadratic internal interpolation of the state between two time steps and we approximate…
This paper generalizes a previously-conceived, continuation-based optimization technique for scalar objective functions on constraint manifolds to cases of periodic and quasiperiodic solutions of delay-differential equations. A Lagrange…
In this paper, we develop regularized discrete least squares collocation and finite volume methods for solving two-dimensional nonlinear time-dependent partial differential equations on irregular domains. The solution is approximated using…
This paper studies the convergence of a spatial semi-discretization for a backward semilinear stochastic parabolic equation. The filtration is general, and the spatial semi-discretization uses the standard continuous piecewise linear…
The time-fractional Black-Scholes equation (TFBSE) is intended to price the options for which the underlying price fluctuates within a correlated fractal transmission system. Although the TFBSE is an influential approach for grasping the…