Related papers: Grid-Free Monte Carlo for PDEs with Spatially Vary…
We introduce a Monte Carlo method for computing derivatives of the solution to a partial differential equation (PDE) with respect to problem parameters (such as domain geometry or boundary conditions). Derivatives can be evaluated at…
Modeling physical phenomena like heat transport and diffusion is crucially dependent on the numerical solution of partial differential equations (PDEs). A PDE solver finds the solution given coefficients and a boundary condition, whereas an…
Grid-free Monte Carlo methods such as walk on spheres can be used to solve elliptic partial differential equations without mesh generation or global solves. However, such methods independently estimate the solution at every point, and hence…
Grid-free Monte Carlo methods based on the walk on spheres (WoS) algorithm solve fundamental partial differential equations (PDEs) like the Poisson equation without discretizing the problem domain or approximating functions in a finite…
We consider the problem of solving partial differential equations (PDEs) in domains with complex microparticle geometry that is impractical, or intractable, to model explicitly. Drawing inspiration from volume rendering, we propose tackling…
Partial differential equation (PDE) solvers underpin scientific computing, but real-world deployment is bounded by compute. Classical Monte Carlo solvers such as Walk-on-Spheres (WoS) are unbiased and geometry-agnostic but are slow. Learned…
The combination of Monte Carlo methods and deep learning has recently led to efficient algorithms for solving partial differential equations (PDEs) in high dimensions. Related learning problems are often stated as variational formulations…
In recent years, tremendous progress has been made on numerical algorithms for solving partial differential equations (PDEs) in a very high dimension, using ideas from either nonlinear (multilevel) Monte Carlo or deep learning. They are…
Stochastic PDE solvers have emerged as a powerful alternative to traditional discretization-based methods for solving partial differential equations (PDEs), especially in geometry processing and graphics. While off-centered estimators…
Conservation laws in the form of elliptic and parabolic partial differential equations (PDEs) are fundamental to the modeling of many problems such as heat transfer and flow in porous media. Many of such PDEs are stochastic due to the…
Nonlinear differential equations (DEs) are used in a wide range of scientific problems to model complex dynamic systems. The differential equations often contain unknown parameters that are of scientific interest, which have to be estimated…
We present projected walk on spheres (PWoS), a novel pointwise and discretization-free Monte Carlo solver for surface PDEs with Dirichlet boundaries, as a generalization of the walk on spheres method (WoS) [Muller 1956; Sawhney and Crane…
Solving elliptic partial differential equations (PDEs) is a fundamental step in various scientific and engineering studies. As a classic stochastic solver, the Walk-on-Spheres (WoS) method is a well-established and efficient algorithm that…
Partial differential equations (PDEs) with multiple scales or those defined over sufficiently large domains arise in various areas of science and engineering and often present problems when approximating the solutions numerically. Machine…
Partial differential equation is a powerful tool to characterize various physics systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper, we present a…
General elliptic equations with spatially discontinuous diffusion coefficients may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. In such a model, data sparsity and measurement errors are often…
Quasi-Monte Carlo (QMC) methods are applied to multi-level Finite Element (FE) discretizations of elliptic partial differential equations (PDEs) with a random coefficient, to estimate expected values of linear functionals of the solution.…
We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…
We study semi-linear elliptic PDEs with polynomial non-linearity and provide a probabilistic representation of their solution using branching diffusion processes. When the non-linearity involves the unknown function but not its derivatives,…
We introduce the walk-on-boundary (WoB) method for solving boundary value problems to computer graphics. WoB is a grid-free Monte Carlo solver for certain classes of second order partial differential equations. A similar Monte Carlo solver,…