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The simplest, and most common, stochastic model for population processes, including those from biochemistry and cell biology, are continuous time Markov chains. Simulation of such models is often relatively straightforward as there are…
This paper deals with the filtering problem for a class of discrete time stochastic volatility models in which the disturbances have rational probability density functions. This includes the Cauchy distributions and Student t-distributions…
Operator splitting methods have been successfully used in computational sciences, statistics, learning and vision areas to reduce complex problems into a series of simpler subproblems. However, prevalent splitting schemes are mostly…
This paper introduces a unified framework for accelerated gradient methods through the variable and operator splitting (VOS). The operator splitting decouples the optimization process into simpler subproblems, and more importantly, the…
Tau-leaping is a family of algorithms for the approximate simulation of the discrete state continuous time Markov chains. Motivation for the development of such methods can be found, for instance, in the fields of chemical kinetics and…
In many branches of engineering, Banach contraction mapping theorem is employed to establish the convergence of certain deterministic algorithms. Randomized versions of these algorithms have been developed that have proved useful in…
Proximal splitting algorithms are well suited to solving large-scale nonsmooth optimization problems, in particular those arising in machine learning. We propose a new primal-dual algorithm, in which the dual update is randomized;…
We provide general product formulas for the solutions of non-autonomous abstract Cauchy problems. The main technical tool is the application of evolution semigroup methods, allowing the direct application of existing results on autonomous…
We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadratic programs, the number of variables and constraints grows…
The point-splitting regularization technique for composite operators is discussed in connection with anomaly calculation. We present a pedagogical and self-contained review of the topic with an emphasis on the technical details. We also…
In this paper, we propose variants of forward-backward splitting method for solving the system of splitting inclusion problem. We propose a conceptual algorithm containing three variants, each having a different projection steps. The…
We propose a new primal-dual splitting method for solving composite inclusions involving Lipschitzian, and parallel-sum-type monotone operators. Our approach extends the framework in \cite{Siopt4} to a more general class of monotone…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
Nonlinear elliptic problems arise in many fields, including plasma physics, astrophysics, and optimal transport. In this article, we propose a novel operator-splitting/finite element method for solving such problems. We begin by introducing…
We propose a new numerical scheme designed for a wide class of structured population models based on the idea of operator splitting and particle approximations. This scheme is related to the Escalator Boxcar Train (EBT) method commonly used…
This article analyzes and compares two general techniques of rare event simulation for generating paths of Markov processes over fixed time horizons: exponential tilting and stochastic bridge. These two methods allow to accurately compute…
This work introduces a new abstraction technique for reducing the state space of large, discrete-time labelled Markov chains. The abstraction leverages the semantics of interval Markov decision processes and the existing notion of…
We consider the problem of finding the minimizations of the sum of two convex functions and the composition of another convex function with a continuous linear operator from the view of fixed point algorithms based on proximity operators,…
In this paper, we discuss some special properties of operator- valued semicircular random variables including representation of the Cauchy transform of a compactly supported probability measure in terms of their operator-valued Cauchy…
Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or…