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Saddle point problems arise in many important practical applications. In this paper we propose and analyze some algorithms for solving symmetric saddle point problems which are based upon the block Gram-Schmidt method. In particular, we…
We introduce a new approach for decoupling trends (drift) and changepoints (shifts) in time series. Our locally adaptive model-based approach for robustly decoupling combines Bayesian trend filtering and machine learning based…
We consider an optimal control problem constrained by a parabolic partial differential equation (PDE) with Robin boundary conditions. We use a well-posed space-time variational formulation in Lebesgue--Bochner spaces with minimal…
Numerical analysis for linear constant-coefficients Finite Difference schemes was developed approximately fifty years ago. It relies on the assumption of scheme stability and in particular -- for the $L^2$ setting -- on the absence of…
Motivated by the idea of imposing paralleling computing on solving stochastic differential equations (SDEs), we introduce a new Domain Decomposition Scheme to solve forward-backward stochastic differential equations (FBSDEs) parallely. We…
This paper studies bipedal locomotion as a nonlinear optimization problem based on continuous and discrete dynamics, by simultaneously optimizing the remaining step duration, the next step duration and the foot location to achieve…
Simulations of the dynamics generated by partial differential equations (PDEs) provide approximate, numerical solutions to initial value problems. Such simulations are ubiquitous in scientific computing, but the correctness of the results…
Our main objective in this paper is to develop a second-order stochastic numerical method which generalizes the well-known deterministic TR-BDF2 scheme. Since most stochastic techniques used for approximating the solution of a stochastic…
The aim of this work is to show an abstract framework to analyze the numerical approximation for a family of linear degenerate parabolic mixed equations by using a finite element method in space and a Backward-Euler scheme in time. We…
A new explicit stabilized scheme of weak order one for stiff and ergodic stochastic differential equations (SDEs) is introduced. In the absence of noise, the new method coincides with the classical deterministic stabilized scheme (or…
It is shown that for a parabolic problem with maximal $L^p$-regularity (for $1<p<\infty$), the time discretization by a linear multistep method or Runge--Kutta method has maximal $\ell^p$-regularity uniformly in the stepsize if the method…
We develop a multipoint stress mixed finite element method for linear elasticity with weak stress symmetry on quadrilateral grids, which can be reduced to a symmetric and positive definite cell centered system. The method is developed on…
This paper proposes a new steepest gradient descent method for solving nonconvex finite minimax problems using non-monotone adaptive step sizes and providing proof of convergence results in cases of the nonconvex, quasiconvex, and…
We propose a new discretization method for PDEs on moving domains in the setting of unfitted finite element methods, which is provably higher-order accurate in space and time. In the considered setting, the physical domain that evolves…
A novel notion for constructing a well-balanced scheme - a gradient-robust scheme - is introduced and a showcase application for a steady compressible, isothermal Stokes equations is presented. Gradient-robustness means that arbitrary…
We develop an efficient, unconditionally stable, variable step second order exponential time differencing scheme for the incompressible Navier Stokes equations in two and three spatial dimensions under periodic boundary conditions, together…
This article is concerned with the discretisation of the Stokes equations on time-dependent domains in an Eulerian coordinate framework. Our work can be seen as an extension of a recent paper by Lehrenfeld & Olshanskii [ESAIM: M2AN,…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
In this paper we study a zero-sum switching game and its verification theorems expressed in terms of either a system of Reflected Backward Stochastic Differential Equations (RBSDEs in short) with bilateral interconnected obstacles or a…
The so-called 'direct' approach to separation of variables in linear PDEs is applied to the hydrodynamic stability problem. Calculations are made for the complete linear stability equations in cylindrical coordinates. Several classes of the…