Related papers: Multilevel Picard scheme for solving high-dimensio…
The recently introduced full-history recursive multilevel Picard (MLP) approximation methods have turned out to be quite successful in the numerical approximation of solutions of high-dimensional nonlinear PDEs. In particular, there are…
Neufeld and Wu (arXiv:2310.12545) developed a multilevel Picard (MLP) algorithm which can approximately solve general semilinear parabolic PDEs with gradient-dependent nonlinearities, allowing also for coefficient functions of the…
Recently, so-called full-history recursive multilevel Picard (MLP) approximation schemes have been introduced and shown to overcome the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential…
One of the most challenging issues in applied mathematics is to develop and analyze algorithms which are able to approximately compute solutions of high-dimensional nonlinear partial differential equations (PDEs). In particular, it is very…
Full-history recursive multilevel Picard (MLP) approximation schemes have been shown to overcome the curse of dimensionality in the numerical approximation of high-dimensional semilinear partial differential equations (PDEs) with general…
It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). In particular, most of the numerical approximation schemes studied in the scientific…
We introduce multilevel Picard (MLP) approximations for McKean--Vlasov stochastic differential equations (SDEs) with nonconstant diffusion coefficient. Under standard Lipschitz assumptions on the coefficients, we show that the MLP algorithm…
Full history recursive multilevel Picard (MLP) approximations have been proved to overcome the curse of dimensionality in the numerical approximation of semilinear heat equations with nonlinearities which are globally Lipschitz continuous…
In the literatur there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order $3$. In this article we introduce full-history recursive multilevel Picard (MLP)…
We prove that multilevel Picard approximations are capable of approximating solutions of semilinear heat equations in $L^{p}$-sense, ${p}\in [2,\infty)$, in the case of gradient-dependent, Lipschitz-continuous nonlinearities, in the sense…
This work presents a data-driven method for approximation of the maximum positively invariant (MPI) set and the maximum controlled invariant (MCI) set for nonlinear dynamical systems. The method only requires the knowledge of a finite…
The approximative calculation of iterated nested expectations is a recurring challenging problem in applications. Nested expectations appear, for example, in the numerical approximation of solutions of backward stochastic differential…
Dynamic Programming (DP) suffers from the well-known ``curse of dimensionality'', further exacerbated by the need to compute expectations over process noise in stochastic models. This paper presents a Monte Carlo-based sampling approach for…
Approximate dynamic programming (ADP) faces challenges in dealing with constraints in control problems. Model predictive control (MPC) is, in comparison, well-known for its accommodation of constraints and stability guarantees, although its…
Many real world stochastic control problems suffer from the "curse of dimensionality". To overcome this difficulty, we develop a deep learning approach that directly solves high-dimensional stochastic control problems based on Monte-Carlo…
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expectation. Exploiting an approximation by switching systems,…
Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision making under uncertainty and as such constitute the theoretical…
In this paper, we propose a new kind of numerical scheme for high-dimensional backward stochastic differential equations based on modified multi-level Picard iteration. The proposed scheme is very similar to the original multi-level Picard…
The basic concept of multi-dimensional limiting process (MLP) on unstructured grids is inherited and modified for improving shock stabilities and reducing numerical dissipation on smooth regions. A relaxed version of MLP condition, simply…
There is a long history of approximation schemes for the problem of scheduling jobs on identical machines to minimize the makespan. Such a scheme grants a $(1+\epsilon)$-approximation solution for every $\epsilon > 0$, but the running time…