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Two-step hybrid methods specially adapted to the numerical integration of perturbed oscillators are obtained. The formulation of the methods is based on a refinement of classical Taylor expansions due to Scheifele [{\em Z. Angew. Math.…
This work considers stepsize schedules for gradient descent on smooth convex objectives. We extend the existing literature and propose a unified technique for constructing stepsizes with analytic bounds for an arbitrary number of…
In this study, we propose high-order implicit and semi-implicit schemes for solving ordinary differential equations (ODEs) based on Taylor series expansion. These methods are designed to handle stiff and non-stiff components within a…
Variable steps implicit-explicit multistep methods for PDEs have been presented in [17], where the zero-stability is studied for ODEs; however, the stability analysis still remains an open question for PDEs. Based on the idea of linear…
We propose a first-order method for stochastic strongly convex optimization that attains $O(1/n)$ rate of convergence, analysis show that the proposed method is simple, easily to implement, and in worst case, asymptotically four times…
A wide range of implicit time integration methods, including multi-step, implicit Runge-Kutta, and Galerkin finite-time element schemes, is evaluated in the context of chaotic dynamical systems. The schemes are applied to solve the Lorenz…
We introduce a new method, stepwise method for solving optimal con- trol problems. Our first motivation for new approach emanate from limi- tations on continuous time control functions in PMP. Practically in most of the real world models,…
In this paper we deal with global approximation of solutions of stochastic differential equations (SDEs) driven by countably dimensional Wiener process. Under certain regularity conditions imposed on the coefficients, we show lower bounds…
We construct a family of embedded pairs for optimal strong stability preserving explicit Runge-Kutta methods of order $2 \leq p \leq 4$ to be used to obtain numerical solution of spatially discretized hyperbolic PDEs. In this construction,…
For minimizing a strongly convex objective function subject to linear inequality constraints, we consider a penalty approach that allows one to utilize stochastic methods for problems with a large number of constraints and/or objective…
We consider (stochastic) subgradient methods for strongly convex but potentially nonsmooth non-Lipschitz optimization. We provide new equivalent dual descriptions (in the style of dual averaging) for the classic subgradient method, the…
The mathematical program with equilibrium constraints (MPEC) is a powerful yet challenging class of constrained optimization problems, where the constraints are characterized by a parametrized variational inequality (VI) problem. While…
We expose in a tutorial fashion the mechanisms which underlie the synthesis of optimization algorithms based on dynamic integral quadratic constraints. We reveal how these tools from robust control allow to design accelerated gradient…
Stochastic MPECs have found increasing relevance for modeling a broad range of settings in engineering and statistics. Yet, there seem to be no efficient first/zeroth-order schemes equipped with non-asymptotic rate guarantees for resolving…
The single-step explicit time integration methods have long been valuable for solving large-scale nonlinear structural dynamic problems, classified into single-solve and multi-sub-step approaches. However, no existing explicit single-solve…
Explicit stabilized methods are an efficient alternative to implicit schemes for the time integration of stiff systems of differential equations in large dimension. In this paper, we derive explicit stabilized integrators of orders one and…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
This work establishes new convergence guarantees for gradient descent in smooth convex optimization via a computer-assisted analysis technique. Our theory allows nonconstant stepsize policies with frequent long steps potentially violating…
The accelerated composite optimization method FISTA (Beck, Teboulle 2009) is suboptimal by a constant factor, and we present a new method OptISTA that improves FISTA by a constant factor of 2. The performance estimation problem (PEP) has…
This work uniquely combines an affine linear decision rule known from adjustable robustness with min-max-regret robustness. By doing so, the advantages of both concepts can be obtained with an adjustable solution that is not…