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This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
A first-order, Monte Carlo ensemble method has been recently introduced for solving parabolic equations with random coefficients in [26], which is a natural synthesis of the ensemble-based, Monte Carlo sampling algorithm and the…
The design of multiple experiments is commonly undertaken via suboptimal strategies, such as batch (open-loop) design that omits feedback or greedy (myopic) design that does not account for future effects. This paper introduces new…
We propose a new deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and forward-backward stochastic differential equations with jumps (FBSDEJs). This novel algorithm can be viewed as an…
We explore an explicit link between stochastic gradient descent using common batching strategies and splitting methods for ordinary differential equations. From this perspective, we introduce a new minibatching strategy (called Symmetric…
In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence.…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
A sequential piecewise linear programming method is presented where bounded domains of non-convex functions are successively contracted about the solution of a piecewise linear program at each iteration of the algorithm. Although…
We introduce a variant of Multicut Decomposition Algorithms (MuDA), called CuSMuDA (Cut Selection for Multicut Decomposition Algorithms), for solving multistage stochastic linear programs that incorporates a class of cut selection…
Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…
First of all, this paper presents some improvements of DSMC method in the form of new schemes and approaches, that, for a wide class of problems, increase performance and reduce the demands on computer resources. The most important…
We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as a building block for solving dynamic programming equations,…
We provide a framework for the design and analysis of dynamic programming algorithms for surface-embedded graphs on n vertices and branchwidth at most k. Our technique applies to general families of problems where standard dynamic…
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation…
We study the numerical strong stability of explicit schemes for the numerical approximation of the solution to a BSDE where the driver has polynomial growth in the primary variable and satisfies a monotone decreasing condition, and we…
We propose an exact algorithm for solving the longest simple path problem between two given vertices in undirected weighted graphs. By using graph partitioning and dynamic programming, we obtain an algorithm that is significantly faster…
A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliavin sensitivity problem. The control process is estimated by…
We consider least squares approximation of a function of one variable by a continuous, piecewise-linear approximand that has a small number of breakpoints. This problem was notably considered by Bellman who proposed an approximate algorithm…
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…