Related papers: Augmented Variational Superposed Gaussian Approxim…
Sampling from constrained statistical distributions is a fundamental task in various fields including Bayesian statistics, computational chemistry, and statistical physics. This article considers the cases where the constrained distribution…
We study numerical methods for sampling probability measures in high dimension where the underlying model is only approximately identified with a gradient system. Extended stochastic dynamical methods are discussed which have application to…
In this paper, we develop an adaptive Generalized Multiscale Discontinuous Galerkin Method (GMs-DGM) for a class of high-contrast flow problems, and derive a-priori and a-posteriori error estimates for the method. Based on the a-posteriori…
Gaussian processes (GPs) provide a probabilistic nonparametric representation of functions in regression, classification, and other problems. Unfortunately, exact learning with GPs is intractable for large datasets. A variety of approximate…
We introduce a novel Unsmoothed Aggregation (UA) Algebraic Multigrid (AMG) method combined with Preconditioned Conjugate Gradient (PCG) to overcome the limitations of Extended Position-Based Dynamics (XPBD) in high-resolution and…
Gaussian variational inference and the Laplace approximation are popular alternatives to Markov chain Monte Carlo that formulate Bayesian posterior inference as an optimization problem, enabling the use of simple and scalable stochastic…
This paper introduces a novel method for approximating the dynamics of a large autonomous system projected onto a fixed subspace. The core contribution is a novel recursive algorithm to construct an effective time-dependent generator that…
We study distributed stochastic gradient (D-SG) method and its accelerated variant (D-ASG) for solving decentralized strongly convex stochastic optimization problems where the objective function is distributed over several computational…
Max-stable processes are the most popular models for high-impact spatial extreme events, as they arise as the only possible limits of spatially-indexed block maxima. However, likelihood inference for such models suffers severely from the…
This paper contributes to the recent investigations of Lagrangian methods based on Voronoi meshes. The aim is to design a new conservative numerical scheme that can simulate complex flows and multi-phase problems with more accuracy than SPH…
In applications of Gaussian processes where quantification of uncertainty is of primary interest, it is necessary to accurately characterize the posterior distribution over covariance parameters. This paper proposes an adaptation of the…
In this paper, we propose an adaptive approach, based on mesh refinement or parametric enrichment with polynomial degree adaption, for numerical solution of convection dominated equations with random input data. A parametric system emerged…
We consider the Vlasov-Fokker-Planck equation with random electric field where the random field is parametrized by countably many infinite random variables due to uncertainty. At the theoretical level, with suitable assumption on the…
Several methods have been recently proposed for estimating sparse Gaussian graphical models using $\ell_{1}$ regularization on the inverse covariance matrix. Despite recent advances, contemporary applications require methods that are even…
We study optimization algorithms based on variance reduction for stochastic gradient descent (SGD). Remarkable recent progress has been made in this direction through development of algorithms like SAG, SVRG, SAGA. These algorithms have…
Motivated by penalized likelihood maximization in complex models, we study optimization problems where neither the function to optimize nor its gradient have an explicit expression, but its gradient can be approximated by a Monte Carlo…
In the least-squares fitting framework, the Vandermonde with Arnoldi (V+A) method presented in [Brubeck, Nakatsukasa, and Trefethen, {SIAM Review}, 63 (2021), pp. 405-415] is an effective approach to compute a polynomial that approximates…
Stochastic Gradient Langevin Dynamics (SGLD) ensures strong guarantees with regards to convergence in measure for sampling log-concave posterior distributions by adding noise to stochastic gradient iterates. Given the size of many practical…
In this paper we consider a non-monotone (mixed) variational inequality model with (nonlinear) convex conic constraints. Through developing an equivalent Lagrangian function-like primal-dual saddle-point system for the VI model in question,…
Lagrangian particle methods based on detailed atomic and molecular models are powerful computational tools for studying the dynamics of microscale and nanoscale systems. However, the maximum time step is limited by the smallest oscillation…