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We propose a novel approach using supervised learning to obtain near-optimal primal solutions for two-stage stochastic integer programming (2SIP) problems with constraints in the first and second stages. The goal of the algorithm is to…
This paper presents an efficient multiscale butterfly algorithm for computing Fourier integral operators (FIOs) of the form $(\mathcal{L} f)(x) = \int_{R^d}a(x,\xi) e^{2\pi \i \Phi(x,\xi)}\hat{f}(\xi) d\xi$, where $\Phi(x,\xi)$ is a phase…
Co-simulation is widely used in the industry due to the emergence of modular dynamical models made up of interconnected, black-boxed systems. Several co-simulation algorithms have been developed, each with different properties and different…
We present a concrete design for Solomonoff's incremental machine learning system suitable for desktop computers. We use R5RS Scheme and its standard library with a few omissions as the reference machine. We introduce a Levin Search variant…
Sparse polynomial approximation has become indispensable for approximating smooth, high- or infinite-dimensional functions from limited samples. This is a key task in computational science and engineering, e.g., surrogate modelling in…
What makes a class of quantum circuits efficiently classically simulable on average? I present a framework that applies harmonic analysis of groups to circuits with a structure encoded by group parameters. Expanding the circuits in a…
This paper focuses on scattered data fitting problems on spheres. We study the approximation performance of a class of weighted spectral filter algorithms, including Tikhonov regularization, Landaweber iteration, spectral cut-off, and…
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of L\'evy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used. For…
This article considers stochastic algorithms for efficiently solving a class of large scale non-linear least squares (NLS) problems which frequently arise in applications. We propose eight variants of a practical randomized algorithm where…
Simulation of materials is one of the most promising applications of quantum computers. On near-term hardware the crucial constraint on these simulations is circuit depth. Many quantum simulation algorithms rely on a layer of unitary…
Iterative refinement (IR) is a popular scheme for solving a linear system of equations based on gradually improving the accuracy of an initial approximation. Originally developed to improve upon the accuracy of Gaussian elimination,…
We introduce a unified framework for the study of multilevel mixed integer linear optimization problems and multistage stochastic mixed integer linear optimization problems with recourse. The framework highlights the common mathematical…
Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…
We develop a Monte Carlo wave function algorithm for the quantum linear Boltzmann equation, a Markovian master equation describing the quantum motion of a test particle interacting with the particles of an environmental background gas. The…
In this paper, we introduce a novel and general framework for the variational quantum simulation of Lindblad equations. Building on the close relationship between the unraveled Lindblad dynamics, stochastic Magnus integrators, and…
We consider the problem of solving integer programs of the form $\min \{\,c^\intercal x\ \colon\ Ax=b, x\geq 0\}$, where $A$ is a multistage stochastic matrix in the following sense: the primal treedepth of $A$ is bounded by a parameter…
We present a MATLAB-based framework for two- and three-dimensional fast Fourier transforms on multiple GPUs for large-scale numerical simulations using the pseudo-spectral Fourier method. The software implements two complementary multi-GPU…
In this paper we consider an orthonormal basis, generated by a tensor product of Fourier basis functions, half period cosine basis functions, and the Chebyshev basis functions. We deal with the approximation problem in high dimensions…
Rational solutions of partial differential equations (PDEs) are notoriously difficult to approximate via spectral Fourier methods due to their algebraically slow decay rate. In this work we discuss approximating rational PDE solutions in a…
Subgradient algorithms for training support vector machines have been quite successful for solving large-scale and online learning problems. However, they have been restricted to linear kernels and strongly convex formulations. This paper…