Related papers: Numerical evaluation of ODE solutions by Monte Car…
In this paper, we extend the Paired-Explicit Runge-Kutta schemes by Vermeire et. al. to fourth-order of consistency. Based on the order conditions for partitioned Runge-Kutta methods we motivate a specific form of the Butcher arrays which…
Runge-Kutta methods are a popular class of numerical methods for solving ordinary differential equations. Every Runge-Kutta method is characterized by two basic parameters: its order, which measures the accuracy of the solution it produces,…
Statistical models can involve implicitly defined quantities, such as solutions to nonlinear ordinary differential equations (ODEs), that unavoidably need to be numerically approximated in order to evaluate the model. The approximation…
The order of convergence of the Monte Carlo method is 1/2 which means that we need quadruple samples to decrease the error in half in the numerical simulation. Multilevel Monte Carlo methods reach the same order of error by spending less…
A first-order, Monte Carlo ensemble method has been recently introduced for solving parabolic equations with random coefficients in [26], which is a natural synthesis of the ensemble-based, Monte Carlo sampling algorithm and the…
A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…
We introduce a novel Multi-Order Monte Carlo approach for uncertainty quantification in the context of multiscale time-dependent partial differential equations. The new framework leverages Implicit-Explicit Runge-Kutta time integrators to…
We study the approximation of $\mathbb{E}f(X_T)$ by a Monte Carlo algorithm, where $X$ is the solution of a stochastic differential equation and $f$ is a given function. We introduce a new variance reduction method, which can be viewed as a…
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…
In this article, we introduce a novel parallel-in-time solver for nonlinear ordinary differential equations (ODEs). We state the numerical solution of an ODE as a root-finding problem that we solve using Newton's method. The affine…
We study gradient-based optimization methods obtained by directly discretizing a second-order ordinary differential equation (ODE) related to the continuous limit of Nesterov's accelerated gradient method. When the function is smooth…
A Monte Carlo method is presented to evaluate quantum states with many particles moving in the continuum. The scattering state is generated at each time by a Monte Carlo random sampling algorithm. The same calculation are repeated until the…
In this paper the performance of a parallel iterated Runge-Kutta method is compared versus those of the serial fouth order Runge-Kutta and Dormand-Prince methods. It was found that, typically, the runtime for the parallel method is…
We present an algorithm for the numerical solution of systems of fully nonlinear PDEs using stochastic coded branching trees. This approach covers functional nonlinearities involving gradient terms of arbitrary orders, and it requires only…
We construct numerical integrators for Hamiltonian problems that may advantageously replace the standard Verlet time-stepper within Hybrid Monte Carlo and related simulations. Past attempts have often aimed at boosting the order of accuracy…
The aim of this paper is to construct and analyze explicit exponential Runge-Kutta methods for the temporal discretization of linear and semilinear integro-differential equations. By expanding the errors of the numerical method in terms of…
We consider the problem of estimating the expected outcomes of Monte Carlo processes whose outputs are described by multidimensional random variables. We tightly characterize the quantum query complexity of this problem for various choices…
Classical and new numerical schemes are generated using evolutionary computing. Differential Evolution is used to find the coefficients of finite difference approximations of function derivatives, and of single and multi-step integration…
A Taylor method for solving an ordinary differential equation initial-value problem $\dot x = f(t,x)$, $x(t_0) = x_0$, computes the Taylor series (TS) of the solution at the current point, truncated to some order, and then advances to the…
Numerical integrators could be used to form interpolation conditions when training neural networks to approximate the vector field of an ordinary differential equation (ODE) from data. When numerical one-step schemes such as the Runge-Kutta…