Related papers: Operator Splitting, Policy Iteration, and Machine …
We establish a well-posedness and error-estimation framework that solves Hamilton-Jacobi equations by minimizing the least-squares residual of monotone finite-difference discretizations. This approach also applies naturally to second-order…
Splitting methods constitute a widely used class of numerical integrators for ordinary and partial differential equations, particularly well suited to problems that can be decomposed into simpler subproblems. High-order splitting schemes…
We discuss systematic extensions of the standard (St{\"o}rmer-Verlet) splitting method for differential equations of Hamiltonian mechanics, with relative accuracy of order $\tau^2$ for a timestep of length $\tau$, to higher orders in…
Second-order optimization methods offer superior convergence rates but are often bottlenecked by the wall-clock cost of Hessian computation and factorization. In the moderate-dimensional regime where the full Hessian fits in memory,…
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…
In this paper, we propose an iterative splitting method to solve the partial differential equations in option pricing problems. We focus on the Heston stochastic volatility model and the derived two-dimensional partial differential equation…
In this paper we study the convergence of a Lie-Trotter operator splitting for stochastic semi-linear evolution equations in a Hilbert space. The abstract Hilbert space setting allows for the consideration of convergence of the…
Policy iteration is a widely used technique to solve the Hamilton Jacobi Bellman (HJB) equation, which arises from nonlinear optimal feedback control theory. Its convergence analysis has attracted much attention in the unconstrained case.…
Splitting is a method to handle application problems by splitting physics, scales, domain, and so on. Many splitting algorithms have been designed for efficient temporal discretization. In this paper, our goal is to use temporal splitting…
In this paper, we combine the operator splitting methodology for abstract evolution equations with that of stochastic methods for large-scale optimization problems. The combination results in a randomized splitting scheme, which in a given…
The main goal of this paper is to establish existence, regularity and uniqueness results for the solution of a Hamilton-Jacobi-Bellman (HJB) equation, whose operator is an elliptic integro-differential operator. The HJB equation studied in…
We study the efficiency of algorithms simulating a system evolving with Hamiltonian $H=\sum_{j=1}^m H_j$. We consider high order splitting methods that play a key role in quantum Hamiltonian simulation. We obtain upper bounds on the number…
In this paper, we propose an algorithm combining the forward-backward splitting method and the alternative projection method for solving the system of splitting inclusion problem. We want to find a point in the interception of a finite…
Semi-Lagrangian schemes with various splitting methods, and with different reconstruction/interpolation strategies have been applied to kinetic simulations. For example, the order of spatial accuracy of the algorithms proposed in {[Qiu and…
The Allen-Cahn equation is solved numerically by operator splitting Fourier spectral methods. The basic idea of the operator splitting method is to decompose the original problem into sub-equations and compose the approximate solution of…
This paper investigates a Hamilton-Jacobi (HJ) analysis to solve finite-horizon optimal control problems for high-dimensional systems. Although grid-based methods, such as the level-set method [1], numerically solve a general class of HJ…
The splitting method is a powerful method for solving partial differential equations. Various splitting methods have been designed to separate different physics, nonlinearities, and so on. Recently, a new splitting approach has been…
In approximating solutions of nonstationary problems, various approaches are used to compute the solution at a new time level from a number of simpler (sub-)problems. Among these approaches are splitting methods. Standard splitting schemes…
In this paper, we develop high-order splitting methods for linear port-Hamiltonian systems, focusing on preserving their intrinsic structure, particularly the dissipation inequality. Port-Hamiltonian systems are characterized by their…
We show how the standard (St{\"o}rmer-Verlet) splitting method for differential equations of Hamiltonian mechanics (with accuracy of order $\tau^2$ for a timestep of length $\tau$) can be improved in a systematic manner without using the…