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The alternating direction multiplier method (ADMM) is widely used in computer graphics for solving optimization problems that can be nonsmooth and nonconvex. It converges quickly to an approximate solution, but can take a long time to…
We propose new numerical schemes for decoupled forward-backward stochastic differential equations (FBSDEs) with jumps, where the stochastic dynamics are driven by a $d$-dimensional Brownian motion and an independent compensated Poisson…
Discrete-state, continuous-time Markov models are widely used in the modeling of biochemical reaction networks. Their complexity often precludes analytic solution, and we rely on stochastic simulation algorithms to estimate system…
In this paper, an efficient and high-order accuracy finite difference method is proposed for solving multidimensional nonlinear Burgers' equation. The third-order three stage Runge-Kutta total variation diminishing (TVD) scheme is employed…
Stochastic methods with coordinate-wise adaptive stepsize (such as RMSprop and Adam) have been widely used in training deep neural networks. Despite their fast convergence, they can generalize worse than stochastic gradient descent. In this…
By attaching auxiliary event times to the chronologically ordered observations, we formulate the Bayesian multiple changepoint problem of discrete-time observations into that of continuous-time ones. A version of forward-filtering…
We develop adaptive replicated designs for Gaussian process metamodels of stochastic experiments. Adaptive batching is a natural extension of sequential design heuristics with the benefit of replication growing as response features are…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
The design space of dynamic multibody systems (MBSs), particularly those with flexible components, is considerably large. Consequently, having a means to efficiently explore this space and find the optimum solution within a feasible…
In this paper, we derive an a-posteriori error indicator for the Generalized Multiscale Finite Element Method (GMsFEM) framework. This error indicator is further used to develop an adaptive enrichment algorithm for the linear elliptic…
First order optimization algorithms play a major role in large scale machine learning. A new class of methods, called adaptive algorithms, were recently introduced to adjust iteratively the learning rate for each coordinate. Despite great…
This paper introduces a novel approach for the construction of bulk--surface splitting schemes for semi-linear parabolic partial differential equations with dynamic boundary conditions. The proposed construction is based on a reformulation…
Computing accurate rate constants for catalytic events occurring at the surface of a given material represents a challenging task with multiple potential applications in chemistry. To address this question, we propose an approach based on a…
Black-box variational inference (BBVI) with Gaussian mixture families offers a flexible approach for approximating complex posterior distributions without requiring gradients of the target density. However, standard numerical optimization…
In this paper, we study a novel second-order energy stable Backward Differentiation Formula (BDF) finite difference scheme for the epitaxial thin film equation with slope selection (SS). One major challenge for the higher oder in time…
We present an adaptive variational quantum algorithm to estimate the Berry phase accumulated by a nondegenerate ground state under cyclic, adiabatic evolution of a time-dependent Hamiltonian. Our method leverages cyclic adiabatic evolution…
The alternating direction method of multipliers (ADMM) is a powerful splitting algorithm for linearly constrained convex optimization problems. In view of its popularity and applicability, a growing attention is drawn towards the ADMM in…
We propose a continuous-time scheme for large-scale optimization that introduces individual, adaptive momentum coefficients regulated by the kinetic energy of each model parameter. This approach automatically adjusts to local landscape…
We introduce generalised finite difference methods for solving fully nonlinear elliptic partial differential equations. Methods are based on piecewise Cartesian meshes augmented by additional points along the boundary. This allows for…
In this paper we construct a third order method for solving additively split autonomous stiff systems of ordinary differential equations. The constructed additive method is L-stable with respect to the implicit part and allows to use an…