Related papers: Dynamically orthogonal tensor methods for high-dim…
As the dimension of a system increases, traditional methods for control and differential games rapidly become intractable, making the design of safe autonomous agents challenging in complex or team settings. Deep-learning approaches avoid…
The identification of nonlinear dynamics from observations is essential for the alignment of the theoretical ideas and experimental data. The last, in turn, is often corrupted by the side effects and noise of different natures, so…
Tensor decomposition is an important technique for capturing the high-order interactions among multiway data. Multi-linear tensor composition methods, such as the Tucker decomposition and the CANDECOMP/PARAFAC (CP), assume that the complex…
Nonparametric extension of tensor regression is proposed. Nonlinearity in a high-dimensional tensor space is broken into simple local functions by incorporating low-rank tensor decomposition. Compared to naive nonparametric approaches, our…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
Applications in quantitative finance such as optimal trade execution, risk management of options, and optimal asset allocation involve the solution of high dimensional and nonlinear Partial Differential Equations (PDEs). The connection…
The Dynamic Programming approach allows to compute a feedback control for nonlinear problems, but suffers from the curse of dimensionality. The computation of the control relies on the resolution of a nonlinear PDE, the…
Many important problems in science and engineering require solving the so-called parametric partial differential equations (PDEs), i.e., PDEs with different physical parameters, boundary conditions, shapes of computation domains, etc.…
In this paper, we consider the problem of learning prediction models for spatiotemporal physical processes driven by unknown partial differential equations (PDEs). We propose a deep learning framework that learns the underlying dynamics and…
Unsupervised learning aims at the discovery of hidden structure that drives the observations in the real world. It is essential for success in modern machine learning. Latent variable models are versatile in unsupervised learning and have…
The widespread use of multisensor technology and the emergence of big datasets have created the need to develop tools to reduce, approximate, and classify large and multimodal data such as higher-order tensors. While early approaches…
We present a new methodology for the real-time reduced-order modeling of stochastic partial differential equations called the dynamically/bi-orthonormal (DBO) decomposition. In this method, the stochastic fields are approximated by a…
We propose a new technique for obtaining reduced order models for nonlinear dynamical systems. Specifically, we advocate the use of the recently developed Dynamic Mode Decomposition (DMD), an equation-free method, to approximate the…
Machine learning solvers for partial differential equations (PDEs) have attracted growing interest. However, most existing approaches, such as neural network solvers, rely on stochastic training, which is inefficient and typically requires…
In this paper, we present a deep learning-based numerical method for approximating high dimensional stochastic partial differential equations (SPDEs). At each time step, our method relies on a predictor-corrector procedure. More precisely,…
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…
The widespread use of multisensor technology and the emergence of big data sets have brought the necessity to develop more versatile tools to represent higher-order data with multiple aspects and high dimensionality. Data in the form of…
Machine learning and data mining algorithms are becoming increasingly important in analyzing large volume, multi-relational and multi--modal datasets, which are often conveniently represented as multiway arrays or tensors. It is therefore…
We introduce and extend the outer product and contractive product of tensors and matrices, and present some identities in terms of these products. We offer tensor expressions of derivatives of tensors, focus on the tensor forms of…
This paper investigates solution strategies for nonlinear problems in Hilbert spaces, such as nonlinear partial differential equations (PDEs) in Sobolev spaces, when only finite measurements are available. We formulate this as a nonlinear…