Related papers: A higher order moment preserving reduction scheme …
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
In this paper, a stochastic Hamiltonian formulation (SHF) is proposed and applied to dissipative particle dynamics (DPD) simulations. As an extension of Hamiltonian dynamics to stochastic dissipative systems, the SHF provides necessary…
Sequential Monte Carlo (SMC) methods are widely used to draw samples from intractable target distributions. Particle degeneracy can hinder the use of SMC when the target distribution is highly constrained or multimodal. As a motivating…
This paper proposes a semidefinite programming based method for estimating moments of a stochastic hybrid system (SHS). For polynomial SHSs -- which consist of polynomial continuous vector fields, reset maps, and transition intensities --…
We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…
Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without good proposal distributions struggle in high dimensions. We propose nested sequential Monte Carlo…
In this paper, a novel high-order, mass and energy-conserving scheme is proposed for the regularized logarithmic Schr\"{o}dinger equation(RLogSE). Based on the idea of the supplementary variable method (SVM), we firstly reformulate the…
Plasma modeling is central to the design of nuclear fusion reactors, yet simulating collisional plasma kinetics from first principles remains a formidable computational challenge: the Vlasov-Maxwell-Landau (VML) system describes…
Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…
In several recently proposed stochastic optimization methods (e.g. RMSProp, Adam, Adadelta), parameter updates are scaled by the inverse square roots of exponential moving averages of squared past gradients. Maintaining these per-parameter…
We present high-order, finite element-based Second Moment Methods (SMMs) for solving radiation transport problems in two spatial dimensions. We leverage the close connection between the Variable Eddington Factor (VEF) method and SMM to…
Piecewise deterministic Markov processes (PDMPs) are a type of continuous-time Markov process that combine deterministic flows with jumps. Recently, PDMPs have garnered attention within the Monte Carlo community as a potential alternative…
Binary-pairing Monte-Carlo methods are widely used in particle-in-cell codes to capture effects of small angle Coulomb collisions. These methods preserve momentum and energy exactly when the simulation particles have equal weights. However,…
A Quantified Model-Competition (QMC) mechanism for multi-scale flows is extracted from the integral (analytical) solution of the Boltzmann-BGK model equation. In the QMC mechanism, the weight of the rarefied model and the weight of the…
We present and discuss a variance-reduced stochastic particle method for simulating the relaxation-time model of the Boltzmann transport equation. The present paper focuses on the dilute gas case, although the method is expected to directly…
Sequential Monte Carlo (SMC) methods, also known as particle filters, constitute a class of algorithms used to approximate expectations with respect to a sequence of probability distributions as well as the normalising constants of those…
Bayesian filtering aims at tracking sequentially a hidden process from an observed one. In particular, sequential Monte Carlo (SMC) techniques propagate in time weighted trajectories which represent the posterior probability density…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…
Sequential Monte Carlo algorithms, or Particle Filters, are Bayesian filtering algorithms which propagate in time a discrete and random approximation of the a posteriori distribution of interest. Such algorithms are based on Importance…