Related papers: Resonance based schemes for SPDEs
We propose a machine learning framework to accelerate numerical computations of time-dependent ODEs and PDEs. Our method is based on recasting (generalizations of) existing numerical methods as artificial neural networks, with a set of…
We analyze the long-time behavior of numerical schemes for a class of monotone stochastic partial differential equations (SPDEs) driven by multiplicative noise. By deriving several time-independent a priori estimates for the numerical…
Building surrogate models with uncertainty quantification capabilities is essential for many engineering applications where randomness, such as variability in material properties, is unavoidable. Polynomial Chaos Expansion (PCE) is widely…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
A new method for solving numerically stochastic partial differential equations (SPDEs) with multiple scales is presented. The method combines a spectral method with the heterogeneous multiscale method (HMM) presented in [W. E, D. Liu, and…
A nonintrusive model order reduction method for bilinear stochastic differential equations with additive noise is proposed. A reduced order model (ROM) is designed in order to approximate the statistical properties of high-dimensional…
Systems involving Partial Differential Equations (PDEs) have recently become more popular among the machine learning community. However prior methods usually treat infinite dimensional problems in finite dimensions with Reduced Order…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
The reconstruction and inference of stochastic dynamical systems from data is a fundamental task in inverse problems and statistical learning. While surrogate modeling advances computational methods to approximate these dynamics, standard…
Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes are observed in multiple individuals or experimental units,…
Probabilistic solvers for ordinary differential equations (ODEs) provide efficient quantification of numerical uncertainty associated with simulation of dynamical systems. Their convergence rates have been established by a growing body of…
This paper focuses on the construction and analysis of explicit numerical methods of high dimensional stochastic nonlinear Schrodinger equations (SNLSEs). We first prove that the classical explicit numerical methods are unstable and suffer…
Propagation characteristics of a wave are defined by the dispersion relationship, from which the governing partial differential equation (PDE) can be recovered. PDEs are commonly solved numerically using the finite-difference (FD) method,…
Stochastic differential equations (SDEs) are well suited to modelling noisy and irregularly sampled time series found in finance, physics, and machine learning. Traditional approaches require costly numerical solvers to sample between…
We introduce a novel framework for uncertainty quantification of solution operators associated with stochastic partial differential equations (SPDEs). Although SPDEs play a central role in modeling complex physical systems under…
Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a…
To solve the Kohn-Sham equation within the framework of density functional theory, we develop a scheme to construct numerical atomic orbital (NAO) basis sets by contracting truncated spherical waves (TSWs). The contraction minimizes the…
We analyze the qualitative properties and the order of convergence of a splitting scheme for a class of nonlinear stochastic Schr\"odinger equations driven by additive It\^o noise. The class of nonlinearities of interest includes nonlocal…
Stochastic regularization of neural networks (e.g. dropout) is a wide-spread technique in deep learning that allows for better generalization. Despite its success, continuous-time models, such as neural ordinary differential equation (ODE),…
Ordinary differential equation (ODE) is widely used in modeling biological and physical processes in science. In this article, we propose a new reproducing kernel-based approach for estimation and inference of ODE given noisy observations.…