Related papers: Scalable Global Solution Techniques for High-Dimen…
We study the scaling limits of stochastic gradient descent (SGD) with constant step-size in the high-dimensional regime. We prove limit theorems for the trajectories of summary statistics (i.e., finite-dimensional functions) of SGD as the…
Scalable spatial GPs for massive datasets can be built via sparse Directed Acyclic Graphs (DAGs) where a small number of directed edges is sufficient to flexibly characterize spatial dependence. The DAG can be used to devise fast algorithms…
The finite element method, finite difference method, finite volume method and spectral method have achieved great success in solving partial differential equations. However, the high accuracy of traditional numerical methods is at the cost…
We present the deep neural network multigrid solver (DNN-MG) that we develop for the instationary Navier-Stokes equations. DNN-MG improves computational efficiency using a judicious combination of a geometric multigrid solver and a…
It is well-known that the reparameterisation gradient estimator, which exhibits low variance in practice, is biased for non-differentiable models. This may compromise correctness of gradient-based optimisation methods such as stochastic…
We introduce an extended discontinuous Galerkin discretization of hyperbolic-parabolic problems on multidimensional semi-infinite domains. Building on previous work on the one-dimensional case, we split the strip-shaped computational domain…
We propose a new randomized optimization method for high-dimensional problems which can be seen as a generalization of coordinate descent to random subspaces. We show that an adaptive sampling strategy for the random subspace significantly…
Dynamic Mode Decomposition (DMD) is a powerful data-driven method used to extract spatio-temporal coherent structures that dictate a given dynamical system. The method consists of stacking collected temporal snapshots into a matrix and…
Stochastic gradient descent (SGD) and its variants enable modern artificial intelligence. However, theoretical understanding lags far behind their empirical success. It is widely believed that SGD has a curious ability to avoid sharp local…
In the current context of Big Data, the nature of many forecasting problems has changed from predicting isolated time series to predicting many time series from similar sources. This has opened up the opportunity to develop competitive…
This paper presents the development of a well-balanced gas-kinetic scheme (GKS) with space-time adaptive mesh refinement (STAMR) for the shallow water equations (SWE). While well-balanced GKS have been established on Cartesian and…
We introduce an evolutionary stochastic-local-search (SLS) algorithm for addressing a generalized version of the so-called 1/V/D/R cutting-stock problem. Cutting-stock problems are encountered often in industrial environments and the…
Fault tolerant algorithms for the numerical approximation of elliptic partial differential equations on modern supercomputers play a more and more important role in the future design of exa-scale enabled iterative solvers. Here, we combine…
Modeling a high-dimensional Hamiltonian system in reduced dimensions with respect to coarse-grained (CG) variables can greatly reduce computational cost and enable efficient bottom-up prediction of main features of the system for many…
The paper provides global optimization algorithms for two particularly difficult nonconvex problems raised by hybrid system identification: switching linear regression and bounded-error estimation. While most works focus on local…
In this paper, a meshless Hermite-HDMR finite difference method is proposed to solve high-dimensional Dirichlet problems. The approach is based on the local Hermite-HDMR expansion with an additional smoothing technique. First, we introduce…
In this paper, we consider the problem of accelerating the numerical simulation of time dependent problems by time domain decomposition. The available algorithms enabling such decompositions present severe efficiency limitations and are an…
Recently a number of papers have suggested using neural-networks in order to approximate policy functions in DSGE models, while avoiding the curse of dimensionality, which for example arises when solving many HANK models, and while…
Over the last decade, a single algorithm has changed many facets of our lives - Stochastic Gradient Descent (SGD). In the era of ever decreasing loss functions, SGD and its various offspring have become the go-to optimization tool in…
With increasing quantity and quality of solar observations, it becomes essential to account for three-dimensional heterogeneities in wave modeling for seismic data interpretation. In this context, we present a 3D solver of the time-harmonic…