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A non-intrusive reduced order model based on convolutional autoencoders (NIROM-CAEs) is proposed as a data-driven tool to build an efficient nonlinear reduced-order model for stochastic spatio-temporal large-scale physical problems. The…
The stochastic block model (SBM) is a mixture model used for the clustering of nodes in networks. It has now been employed for more than a decade to analyze very different types of networks in many scientific fields such as Biology and…
In this paper we develop a perturbation method to predict the rate of occurrence of rare events for singularly perturbed stochastic systems using a probability density function approach. In contrast to a stochastic normal form approach, we…
Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…
In this paper we construct high order finite volume schemes on networks of hyperbolic conservation laws with coupling conditions involving ODEs. We consider two generalized Riemann solvers at the junction, one of Toro-Castro type and a…
Stochastic spectral methods have become a popular technique to quantify the uncertainties of nano-scale devices and circuits. They are much more efficient than Monte Carlo for certain design cases with a small number of random parameters.…
Random Batch Methods (RBM) for mean-field interacting particle systems enable the reduction of the quadratic computational cost associated with particle interactions to a near-linear cost. The essence of these algorithms lies in the random…
The Expectation-Maximization (EM) algorithm is a popular choice for learning latent variable models. Variants of the EM have been initially introduced, using incremental updates to scale to large datasets, and using Monte Carlo (MC)…
This paper discusses a novel probabilistic approach for the design of robust model predictive control (MPC) laws for discrete-time linear systems affected by parametric uncertainty and additive disturbances. The proposed technique is based…
Many computer vision applications involve modeling complex spatio-temporal patterns in high-dimensional motion data. Recently, restricted Boltzmann machines (RBMs) have been widely used to capture and represent spatial patterns in a single…
Despite the success of model predictive control (MPC), its application to high-dimensional systems, such as flexible structures and coupled fluid/rigid-body systems, remains a largely open challenge due to excessive computational…
Simulations of large-scale plasma systems are typically based on a fluid approximation approach. These models construct a moment-based system of equations that approximate the particle-based physics as a fluid, but as a result lack the…
High-order perturbative $\textit{ab initio}$ calculations are challenging due to the rapidly growing configuration space and the difficulty of assessing convergence. In this letter, we introduce perturbation theory quantum Monte Carlo…
Global climate models (GCMs) are the main tools for understanding and predicting climate change. However, due to limited numerical resolutions, these models suffer from major structural uncertainties; e.g., they cannot resolve critical…
We discuss the possibility of applying some standard statistical methods (the least square method, the maximum likelihood method, the method of statistical moments for estimation of parameters) to deterministically chaotic low-dimensional…
Ordinal data is omnipresent in almost all multiuser-generated feedback - questionnaires, preferences etc. This paper investigates modelling of ordinal data with Gaussian restricted Boltzmann machines (RBMs). In particular, we present the…
This paper proposes a framework of L-BFGS based on the (approximate) second-order information with stochastic batches, as a novel approach to the finite-sum minimization problems. Different from the classical L-BFGS where stochastic batches…
Frequency-based methods have been successfully employed in creating high fidelity data-driven reduced order models (DDROMs) for linear dynamical systems. These methods require access to values (and sometimes derivatives) of the…
We propose a physics-constrained machine learning method-based on reservoir computing- to time-accurately predict extreme events and long-term velocity statistics in a model of turbulent shear flow. The method leverages the strengths of two…
A stochastic data-driven reduced-order model applicable to a wide range of turbulent natural and engineering flows is presented. Combining ideas from Koopman theory and spectral model order reduction, the stochastic low-dimensional inflated…