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The Valeriepieris circle is the smallest circle that can be draw on the globe containing half of the world's population. The Valeriepieris (VP) circle acts as a spatial median, effectively splitting spatial data into two halves in a unique…
We develop an algorithm for i) computing generalized regular $k$-point grids, ii) reducing the grids to their symmetrically distinct points, and iii) mapping the reduced grid points into the Brillouin zone. The algorithm exploits the…
The Bernstein-B\'ezier form of a polynomial is widely used in the fields of computer aided geometric design, spline approximation theory and, more recently, for high order finite element methods for the solution of partial differential…
A method for computing the n'th decimal digit of pi in O(n^3 log(n)^3) time and with very little memory is presented here. The computation is based on the recently discovered Bailey-Borwein-Plouffe algorithm and the use of a new algorithm…
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman (1997) to price a $\pi$-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of…
Bayesian inference has become an important tool to solve inverse problems and to quantify uncertainties in their solutions. Variational inference is a method that provides probabilistic, Bayesian solutions efficiently by using optimization.…
In the field of computational finance, one is commonly interested in the expected value of a financial derivative whose payoff depends on the solution of stochastic differential equations (SDEs). For multi-dimensional SDEs with…
There is a long-standing puzzle that the CP violation (CPV) in the baryon systems has never been well established in experiments, while the CPV of mesons have been observed by decades. In this paper, we propose that the CPV of baryon decays…
Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation.…
We introduce smallest valid partitioning (SVP), a segmentation method for multiple change-point detection in time-series. SVP relies on a local notion of segment validity: a candidate segment is retained only if it passes a user-chosen…
We build on a recently introduced geometric interpretation of Markov Decision Processes (MDPs) to analyze classical MDP-solving algorithms: Value Iteration (VI) and Policy Iteration (PI). First, we develop a geometry-based analytical…
Cr\'epey, Frikha, and Louzi (2025) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo. The best complexity of the scheme is in…
Brightness is a critical metric for optimizing the design of neutron sources and beamlines, yet there is no direct way to calculate brightness within most Monte Carlo packages used for neutron source simulation. In this paper, we present…
This paper describes the application of the method of probabilistic solutions (MPS) to numerically solve the Dirichlet generalized and classical harmonic problems for irregular n sided pyramidal domains. Here, generalized means that the…
We present a novel multilevel Monte Carlo approach for estimating quantities of interest for stochastic partial differential equations (SPDEs). Drawing inspiration from [Giles and Szpruch: Antithetic multilevel Monte Carlo estimation for…
We consider ordinary differential equations (ODEs) which involve expectations of a random variable. These ODEs are special cases of McKean-Vlasov stochastic differential equations (SDEs). A plain vanilla Monte Carlo approximation method for…
An efficient method for calculating the electronic structure of systems that need a very fine sampling of the Brillouin zone is presented. The method is based on the variational optimization of a "single" (i.e. common to all points in the…
M-estimation is a general statistical framework that simplifies estimation. Here, we introduce delicatessen, a Python library that automates the tedious calculations of M-estimation, and supports both built-in user-specified estimating…
Operator-splitting methods are widespread in the numerical solution of differential equations, especially the initial-value problems in ordinary differential equations that arise from a method-of-lines discretization of partial differential…
We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…