Related papers: The Stochastic TR-BDF2 Scheme of Order 2
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
In this paper, we introduce a fourth-order accurate finite element method for incompressible variable density flow. The method is implicit in time and constructed with the Taylor series technique, and uses standard high-order Lagrange basis…
Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well…
A stochastic ordering approach is applied with Stein's method for approximation by the equilibrium distribution of a birth-death process. The usual stochastic order and the more general s-convex orders are discussed. Attention is focused on…
The interplay between advances in stochastic and deterministic algorithms has recently led to development of interesting new selected configuration interaction (SCI) methods for solving the many body Schr\"{o}dinger equation. The…
Neural stochastic differential equation model with a Brownian motion term can capture epistemic uncertainty of deep neural network from the perspective of a dynamical system. The goal of this paper is to improve the convergence rate of the…
We derive normal approximation results for a class of stabilizing functionals of binomial or Poisson point process, that are not necessarily expressible as sums of certain score functions. Our approach is based on a flexible notion of the…
We propose a self adjusting multirate method based on the TR-BDF2 solver. The potential advantages of using TR-BDF2 as the key component of a multirate framework are highlighted. A linear stability analysis of the resulting approach is…
In this paper, we propose a new second-order fast finite difference scheme in time for solving the Tempered Time Fractional Advection-Dispersion Equation. Under the assumption that the solution is nonsmooth at the initial time, we…
We propose a general strategy to discretize the Dyson series without applying direct numerical quadrature to high-dimensional integrals, and extend this framework to open quantum systems. The resulting discretization can also be interpreted…
Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…
We propose and analyze several inexact regularized Newton-type methods for finding a global saddle point of convex-concave unconstrained min-max optimization problems. Compared to first-order methods, our understanding of second-order…
In this note we propose and analyze novel implicit-explicit methods based on second order strong stability preserving multistep time discretizations. Several schemes are developed, and a linear stability analysis is performed to study their…
Gradient based optimization algorithms deployed in Machine Learning (ML) applications are often analyzed and compared by their convergence rates or regret bounds. While these rates and bounds convey valuable information they don't always…
This study presents a sampling-based method to guarantee robust stability of general control systems with uncertainty. The method allows the system dynamics and controllers to be represented by various data-driven models, such as Gaussian…
The Poisson-Nernst-Planck equations with generalized Frumkin-Butler-Volmer boundary conditions (PNP-FBV) describe ion transport with Faradaic reactions and have applications in a wide variety of fields. Using an adaptive time-stepper based…
In this work, we present a second-order numerical scheme to address the solution of optimal control problems constrained by the evolution of nonlinear Fokker-Planck equations arising from socio-economic dynamics. In order to design an…
Optimization plays a key role in machine learning. Recently, stochastic second-order methods have attracted much attention due to their low computational cost in each iteration. However, these algorithms might perform poorly especially if…
This paper investigates projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition. This condition admits some equations with highly nonlinear drift and diffusion coefficients. We…
We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the…