Related papers: A Particle Method for Solving Fredholm Equations o…
The Poisson-Nernst-Planck (PNP) equations are one of the most effective model for describing electrostatic interactions and diffusion processes in ion solution systems, and have been widely used in the numerical simulations of biological…
The EM (Expectation-Maximization) algorithm is regarded as an MM (Majorization-Minimization) algorithm for maximum likelihood estimation of statistical models. Expanding this view, this paper demonstrates that by choosing an appropriate…
We introduce the EMC algorithm for reconstructing a particle's 3D diffraction intensity from very many photon shot-noise limited 2D measurements, when the particle orientation in each measurement is unknown. The algorithm combines a…
Microscopic processes on surfaces such as adsorption, desorption, diffusion and reaction of interacting particles can be simulated using kinetic Monte Carlo (kMC) algorithms. Even though kMC methods are accurate, they are computationally…
We present a two-dimensional (2D) Particle-Particle-Particle-Mesh (P$^3$M) algorithm with an optimized Green function and adaptive softening length for gravitational lensing studies in N-Body simulations. The analytical form of the…
Sequential Monte Carlo methods have been a major breakthrough in the field of numerical signal processing for stochastic dynamical state-space systems with partial and noisy observations. However, these methods still present certain…
The mean field limits of systems of interacting diffusions (also called stochastic interacting particle systems (SIPS)) have been intensively studied since McKean \cite{mckean1966class}. The interacting diffusions pave a way to…
The Nystr\"om method for the numerical solution of Fredholm integral equations of the second kind is generalized by decoupling the set of solution nodes from the set of quadrature nodes. The accuracy and efficiency of the new method is…
In this paper, we develop a Monte Carlo algorithm named the Frozen Gaussian Sampling (FGS) to solve the semiclassical Schr\"odinger equation based on the frozen Gaussian approximation. Due to the highly oscillatory structure of the wave…
The statistical problem of parameter estimation in partially observed hypoelliptic diffusion processes is naturally occurring in many applications. However, due to the noise structure, where the noise components of the different coordinates…
Partial differential equations (PDEs) with multiple scales or those defined over sufficiently large domains arise in various areas of science and engineering and often present problems when approximating the solutions numerically. Machine…
Partially observable Markov decision processes (POMDPs) provide a flexible representation for real-world decision and control problems. However, POMDPs are notoriously difficult to solve, especially when the state and observation spaces are…
Some significant quantities in mathematics and physics are most naturally expressed as the Fredholm determinant of an integral operator, most notably many of the distribution functions in random matrix theory. Though their numerical values…
The object of this paper is a one-dimensional generalized porous media equation (PDE) with possibly discontinuous coefficient $\beta$, which is well-posed as an evolution problem in $L^1(\mathbb{R})$. In some recent papers of Blanchard et…
Formulated is a new systematic method for obtaining higher order corrections in numerical simulation of stochastic differential equations (SDEs), i.e., Langevin equations. Random walk step algorithms within a given order of finite $\Delta…
Solving nonlinear optimal control problems is a challenging task, particularly for high-dimensional problems. We propose algorithms for model-based policy iterations to solve nonlinear optimal control problems with convergence guarantees.…
Inference-Time Scaling (ITS) improves language models by allocating more computation at generation time. Particle Filtering (PF) has emerged as a strong ITS method for complex mathematical reasoning tasks, but it is vulnerable when guided…
In this work, we develop a localized numerical scheme with low regularity requirements for solving time-fractional integro-differential equations. First, a fully discrete numerical scheme is constructed. Specifically, for temporal…
Particle filtering (PF) is an often used method to estimate the states of dynamical systems. A major limitation of the standard PF method is that the dimensionality of the state space increases as the time proceeds and eventually may cause…
We present a novel probabilistic finite element method (FEM) for the solution and uncertainty quantification of elliptic partial differential equations based on random meshes, which we call random mesh FEM (RM-FEM). Our methodology allows…