Related papers: Data-driven computation methods for quasi-stationa…
General Stochastic Hybrid Systems (GSHS) have been formulated to represent various types of uncertainties in hybrid dynamical systems. In this paper, we propose computational techniques for Bayesian estimation of GSHS. In particular, the…
Detecting weak, systematic distribution shifts and quantitatively modeling individual, heterogeneous responses to policies or incentives have found increasing empirical applications in social and economic sciences. Given two probability…
We present a data-driven approach to efficiently approximate nonlinear transient dynamics in solid-state systems. Our proposed machine-learning model combines a dimensionality reduction stage with a nonlinear vector autoregression scheme.…
Distributed computing is critically important for modern statistical analysis. Herein, we develop a distributed quasi-Newton (DQN) framework with excellent statistical, computation, and communication efficiency. In the DQN method, no…
The analysis of a timeseries can provide many new perspectives if it is accompanied by the assumption that the timeseries is generated from an underlying dynamical system. For example, statistical properties of the data can be related to…
We present a computationally efficient framework, called $\texttt{FlowDRO}$, for solving flow-based distributionally robust optimization (DRO) problems with Wasserstein uncertainty sets while aiming to find continuous worst-case…
A data-driven implementation of a quasi-linear approximation is presented, extending a minimal quasi-linear approximation (MQLA) (Hwang & Ekchardt, J. Fluid Mech., 2020, 894:A23) to incorporate non-zero streamwise Fourier modes. A…
We propose a dimensionality reduction method for infinite-dimensional measure-valued evolution equations such as the Fokker-Planck partial differential equation or the Kushner-Stratonovich resp. Duncan-Mortensen-Zakai stochastic partial…
Polarization quasi-probability distribution (PQPD) is defined in the Stokes space, and it enables the calculation of mean values and higher-order moments for polarization observables using simple algebraic averaging. It can be reconstructed…
We build and study a recursive algorithm based on the occupation measure of an Euler scheme with decreasing step for the numerical approximation of the quasistationary distribution (QSD) of an elliptic diffusion in a bounded domain. We…
The Fokker--Planck equation is a key ingredient of many models in physics, and related subjects, and arises in a diverse array of settings. Analytical solutions are limited to special cases, and resorting to numerical simulation is often…
We present a novel data-driven distributionally robust Model Predictive Control formulation for unknown discrete-time linear time-invariant systems affected by unknown and possibly unbounded additive uncertainties. We use off-line collected…
A computational tool for coarse-graining nonlinear systems of ordinary differential equations in time is discussed. Three illustrative model examples are worked out that demonstrate the range of capability of the method. This includes the…
We consider the problem of computing the maximal invariant set of discrete-time black-box nonlinear systems without analytic dynamical models. Under the assumption that the system is asymptotically stable, the maximal invariant set…
We introduce a novel spatio-temporal discretization for nonlinear Fokker-Planck equations on the multi-dimensional unit cube. This discretization is based on two structural properties of these equations: the first is the representation as a…
For quantum computers to become useful tools to physicists, engineers and computational scientists, quantum algorithms for solving nonlinear differential equations need to be developed. Despite recent advances, the quest for a solver that…
Fokker-Planck equations are extensively employed in various scientific fields as they characterise the behaviour of stochastic systems at the level of probability density functions. Although broadly used, they allow for analytical treatment…
This article provides a survey of recent research efforts on the application of quasi-Monte Carlo (QMC) methods to elliptic partial differential equations (PDEs) with random diffusion coefficients. It considers, and contrasts, the uniform…
In this paper we study the sensitivities of electron dose calculations with respect to the stopping power and the transport coefficients. We focus on the application to radiotherapy simulations. We use a Fokker-Planck approximation to the…
In this paper we present a novel quasi-Newton algorithm for use in stochastic optimisation. Quasi-Newton methods have had an enormous impact on deterministic optimisation problems because they afford rapid convergence and computationally…