Related papers: Data-driven computation for periodic stochastic di…
We derive analytic solutions for the full time dependence of space-fractional Fokker-Planck equations corresponding to stochastic Langevin equations with additive tempered-stable L\'{e}vy noise terms. The drift terms are generalised to be…
We develop a new method to solve the Fokker-Planck or Kolmogorov's forward equation that governs the time evolution of the joint probability density function of a continuous-time stochastic nonlinear system. Numerical solution of this…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
We study nonlinear dynamics of the Earth's tropical climate system. For that, we apply a recently developed technique for feature extraction and mode decomposition of spatiotemporal data generated by ergodic dynamical systems. The method…
We present a method of discovering governing differential equations from data without the need to specify a priori the terms to appear in the equation. The input to our method is a dataset (or ensemble of datasets) corresponding to a…
We devise a distributed asynchronous stochastic epsilon-gradient-based algorithm to enable a network of computing and communicating nodes to solve a constrained discrete-time time-varying stochastic convex optimization problem. Each node…
We propose a novel data-driven stochastic model predictive control framework for uncertain linear systems with noisy output measurements. Our approach leverages multi-step predictors to efficiently propagate uncertainty, ensuring chance…
Dynamic Mode Decomposition (DMD) is a data-driven technique to identify a low dimensional linear time invariant dynamics underlying high-dimensional data. For systems in which such underlying low-dimensional dynamics is time-varying, a…
Data-driven modeling techniques have been explored in the spatial-temporal modeling of complex dynamical systems for many engineering applications. However, a systematic approach is still lacking to leverage the information from different…
In this preliminary work, we present nonstandard time-stepping strategies to solve differential equations based on the algebraic estimation method applied to the estimation of time-derivative, which provides interesting properties of…
We characterize a stochastic dynamical system with tempered stable noise, by examining its probability density evolution. This probability density function satisfies a nonlocal Fokker-Planck equation. First, we prove a superposition…
In many real-world applications, optimization problems evolve continuously over time and are often subject to stochastic noise. We consider a stochastic time-varying optimization problem in which the objective function $f(x;t)$ changes…
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit…
This paper investigates a Stochastic Partial Differential Equation (SPDE) derived from the Fokker-Planck equation associated with Score-based Generative Models. We modify the standard Fokker-Planck equation to better represent practical…
We develop a model in two dimensions to characterise the growth rate of a tracer gradient mixed by a statistically homogeneous flow with rapid temporal variations. % % The model is based on the orientation dynamics of the passive-tracer…
In this paper we propose a data-driven distributionally robust Model Predictive Control framework for constrained stochastic systems with unbounded additive disturbances. Recursive feasibility is ensured by optimizing over an linearly…
This paper introduces a novel method for approximating the dynamics of a large autonomous system projected onto a fixed subspace. The core contribution is a novel recursive algorithm to construct an effective time-dependent generator that…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
Presently, there is a steady state approach in Computational fluid dynamics (CFD) to obtain a steady solution directly from the steady state governing equations. Whereas, for obtaining a time-periodic flow solution, the present unsteady…
Low-rank methods have shown success in accelerating simulations of a collisionless plasma described by the Vlasov equation, but still rely on computationally costly linear algebra every time step. We propose a data-driven factorization…