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In turbulence modeling, we are concerned with finding closure models that represent the effect of the subgrid scales on the resolved scales. Recent approaches gravitate towards machine learning techniques to construct such models. However,…

Optimizing over the stationary distribution of stochastic differential equations (SDEs) is computationally challenging. A new forward propagation algorithm has been recently proposed for the online optimization of SDEs. The algorithm solves…

Iterative procedures for parameter estimation based on stochastic gradient descent allow the estimation to scale to massive data sets. However, in both theory and practice, they suffer from numerical instability. Moreover, they are…

We propose a novel framework for adaptively learning the time-evolving solutions of stochastic partial differential equations (SPDEs) using score-based diffusion models within a recursive Bayesian inference setting. SPDEs play a central…

Classical machine learning models such as deep neural networks are usually trained by using Stochastic Gradient Descent-based (SGD) algorithms. The classical SGD can be interpreted as a discretization of the stochastic gradient flow. In…

Although the governing equations of many systems, when derived from first principles, may be viewed as known, it is often too expensive to numerically simulate all the interactions they describe. Therefore researchers often seek simpler…

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…

The Latent Stochastic Differential Equation (SDE) is a powerful tool for time series and sequence modeling. However, training Latent SDEs typically relies on adjoint sensitivity methods, which depend on simulation and backpropagation…

We present REMIX, a smoothed particle hydrodynamics (SPH) scheme designed to alleviate effects that typically suppress mixing and instability growth at density discontinuities in SPH simulations. We approach this problem by directly…

In this paper, we propose a novel kernel stochastic gradient descent (SGD) algorithm for large-scale supervised learning with general losses. Compared to traditional kernel SGD, our algorithm improves efficiency and scalability through an…

This paper presents a geometric variational discretization of compressible fluid dynamics. The numerical scheme is obtained by discretizing, in a structure preserving way, the Lie group formulation of fluid dynamics on diffeomorphism groups…

Capturing the correct dynamics at the Coarse-Grained (CG) scale remains a central challenge in the advancement of systematic CG models for soft matter simulations. The Generalized Langevin Equation (GLE), rooted in the Mori-Zwanzig…

We present a statistical learning framework for robust identification of partial differential equations from noisy spatiotemporal data. Extending previous sparse regression approaches for inferring PDE models from simulated data, we address…

This paper presents a simple numerical scheme for the two dimensional Shallow-Water Equations (SWEs). Inspired by the study of numerical approximation of the one dimensional SWEs Audusse et al. (2015), this paper extends the problem from 1D…

Constant potential molecular dynamics simulation plays important role for applications of electrochemical systems, yet the calculation of charge fluctuation on electrodes remains a computational bottleneck. We propose a highly scalable,…

Latent stochastic differential equation (SDE) models are important tools for the unsupervised discovery of dynamical systems from data, with applications ranging from engineering to neuroscience. In these complex domains, exact posterior…

We introduce a generative learning framework to model high-dimensional parametric systems using gradient guidance and virtual observations. We consider systems described by Partial Differential Equations (PDEs) discretized with structured…

In this paper, we propose and analyze semi-implicit numerical schemes for the stochastic wave equation (SWE) with general nonlinearity and multiplicative noise. These numerical schemes, called stochastic scalar auxiliary variable (SAV)…

A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be convergent in mean-square sense under conditions…

Fast power system state estimation (SE) solution is of paramount importance for achieving real-time decision making in power grid operations. Semidefinite programming (SDP) reformulation has been shown effective to obtain the global optimum…