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Hidden Markov Models (HMMs) can be accurately approximated using co-occurrence frequencies of pairs and triples of observations by using a fast spectral method in contrast to the usual slow methods like EM or Gibbs sampling. We provide a…
We consider a numerical scheme for Hamilton-Jacobi equations based on a direct discretization of the Lax-Oleinik semi-group. We prove that this method is convergent with respect to the time and space stepsizes provided the solution is…
Alternating direction method of multipliers (ADMM) is a popular first-order method owing to its simplicity and efficiency. However, similar to other proximal splitting methods, the performance of ADMM degrades significantly when the scale…
A multiscale numerical method is proposed for the solution of semi-linear elliptic stochastic partial differential equations with localized uncertainties and non-linearities, the uncertainties being modeled by a set of random parameters. It…
In this paper, generalized aspects of least square homotopy perturbations are explored to treat the system of non-linear fractional partial differential equations and the method is called as generalized least square homotopy perturbations…
In this paper, we present a multiscale framework for solving the Helmholtz equation in heterogeneous media without scale separation and in the high frequency regime where the wavenumber $k$ can be large. The main innovation is that our…
The aim of this paper is to develop a general method for constructing approximation schemes for viscosity solutions of fully nonlinear pathwise stochastic partial differential equations, and for proving their convergence. Our results apply…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…
We propose a new constrained EM algorithm that is applicable to general constrained estimation problems. The proposed method is based on a novel framework, the `dual-homotopy framework,' which combines deterministic annealing EM with a…
In this paper, we show that the concept of sigma-convergence associated to stochastic processes can tackle the homogenization of stochastic partial differential equations. In this regard, the homogenization problem for a stochastic…
The famous Perona-Malik (P-M) equation which was at first introduced for image restoration has been solved via various numerical methods. In this paper we will solve it for the first time via applying a new numerical method called Homotopy…
We consider a class of structured, nonconvex, nonsmooth optimization problems under orthogonality constraints, where the objectives combine a smooth function, a nonsmooth concave function, and a nonsmooth weakly convex function. This class…
We revisit the problem of certifying the correctness of approximate solution paths computed by numerical homotopy continuation methods. We propose a conceptually simple approach based on a parametric variant of the Krawczyk method from…
This paper proposes a homotopy coordinate descent (HCD) method to solve the $l_0$-norm regularized least square ($l_0$-LS) problem for compressed sensing, which combine the homotopy technique with a variant of coordinate descent method.…
In numerical relativity simulations with non-trivial matter configurations, one must solve the Hamiltonian and momentum constraints of the ADM formulation for the metric variables in the initial data. We introduce a new scheme based on the…
We propose an algorithm for the computational homogenization of locally periodic hyperelastic structures undergoing large deformations due to external quasi-static loading. The algorithm performs clustering of macroscopic deformations into…
We propose a new approach to the numerical solution of ergodic problems arising in the homogenization of Hamilton-Jacobi (HJ) equations. It is based on a Newton-like method for solving inconsistent systems of nonlinear equations, coming…
In this paper we propose a new method to stabilise non-symmetric indefinite problems. The idea is to solve a forward and an adjoint problem simultaneously using a suitable stabilised finite element method. Both stabilisation of the element…
In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic…
The large deflection of a circular thin plate under uniform external pressure is a classic problem in solid mechanics, dated back to Von K{\'a}rm{\'a}n \cite{Karman}. {This problem is reconsidered in this paper using an analytic…