Related papers: Exact dimension reduction for rough differential e…
Dynamical models described by ordinary differential equations (ODEs) are a fundamental tool in the sciences and engineering. Exact reduction aims at producing a lower-dimensional model in which each macro-variable can be directly related to…
We propose a reduced-order modeling approach for nonlinear, parameter-dependent ordinary differential equations (ODE). Dimensionality reduction is achieved using nonlinear maps represented by autoencoders. The resulting low-dimensional ODE…
Dissipative partial differential equations that exhibit chaotic dynamics tend to evolve to attractors that exist on finite-dimensional manifolds. We present a data-driven reduced order modeling method that capitalizes on this fact by…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
We present an exact dimensional reduction for high-dimensional dynamical systems composed of $N$ identical dynamical units governed by quasi-linear ordinary differential equations (ODEs) of order $M$. In these systems, each unit follows a…
This work studies the linear approximation of high-dimensional dynamical systems using low-rank dynamic mode decomposition (DMD). Searching this approximation in a data-driven approach is formalised as attempting to solve a low-rank…
Developing efficient numerical algorithms for the solution of high dimensional random Partial Differential Equations (PDEs) has been a challenging task due to the well-known curse of dimensionality. We present a new solution framework for…
Partial Differential Equations (PDEs) are central to science and engineering. Since solving them is computationally expensive, a lot of effort has been put into approximating their solution operator via both traditional and recently…
This work addresses models (e.g. potential models of directed orbital systems- the manganates) in which an effective reduction dimensionality occurs as a result of a new symmetry which is intermediate between that of global and local gauge…
In this paper, we propose a low rank approximation method for efficiently solving stochastic partial differential equations. Specifically, our method utilizes a novel low rank approximation of the stiffness matrices, which can significantly…
Sufficient dimension reduction (SDR) is continuing an active research field nowadays for high dimensional data. It aims to estimate the central subspace (CS) without making distributional assumption. To overcome the large-$p$-small-$n$…
This paper proposes an explicit computational method for solving a three-dimensional system of nonlinear elastodynamic sine-Gordon equations subject to appropriate initial and boundary conditions. The time derivative is approximated by…
We present an adaptive algorithm for effectively solving rough differential equations (RDEs) using the log-ODE method. The algorithm is based on an error representation formula that accurately describes the contribution of local errors to…
This paper proposes two efficient approximation methods to solve high-dimensional fully nonlinear partial differential equations (NPDEs) and second-order backward stochastic differential equations (2BSDEs), where such high-dimensional fully…
In the present work, a high order finite element type residual distribution scheme is designed in the framework of multidimensional compressible Euler equations of gas dynamics. The strengths of the proposed approximation rely on the…
It is often possible to perform reduced order modelling by specifying linear subspace which accurately captures the dynamics of the system. This approach becomes especially appealing when linear subspace explicitly depends on parameters of…
Moment-based distributionally robust optimization (DRO) provides an optimization framework to integrate statistical information with traditional optimization approaches. Under this framework, one assumes that the underlying joint…
The real-life data have a complex and non-linear structure due to their nature. These non-linearities and the large number of features can usually cause problems such as the empty-space phenomenon and the well-known curse of dimensionality.…
We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate…
Data are not only ubiquitous in society, but are increasingly complex both in size and dimensionality. Dimension reduction offers researchers and scholars the ability to make such complex, high dimensional data spaces simpler and more…