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Particle filtering is a Bayesian inference method and a fundamental tool in state estimation for dynamic systems, but its effectiveness is often limited by the constraints of the initial prior distribution, a phenomenon we define as the…
The filtering of a Markov diffusion process on a manifold from counting process observations leads to `large' changes in the conditional distribution upon an observed event, corresponding to a multiplication of the density by the intensity…
We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the…
Mixed optimal stopping and stochastic control problems define variational inequalities with non-linear Hamilton-Jacobi-Bellman (HJB) operators, whose numerical solution is notoriously difficult and lack of reliable benchmarks. We first use…
Gaussian processes (GPs) offer a flexible class of priors for nonparametric Bayesian regression, but popular GP posterior inference methods are typically prohibitively slow or lack desirable finite-data guarantees on quality. We develop an…
The paper proposes a new recursive filter for non-linear systems that inherently computes a valid bound on the mean square estimation error. The proposed filter, bound based extended Kalman, (BEKF) is in the form of an extended Kalman…
The crucial step in designing a particle filter for a particular application is the choice of importance density. The optimal scheme is to use the conditional posterior density of the state, but this cannot be sampled or calculated…
This is a survey on the theory of adaptive finite element methods (AFEMs), which are fundamental in modern computational science and engineering but whose mathematical assessment is a formidable challenge. We present a self-contained and…
We begin by addressing the time-domain full-waveform inversion using the adjoint method. Next, we derive the scaled boundary semi-weak form of the scalar wave equation in heterogeneous media through the Galerkin method. Unlike conventional…
Spectral methods, thanks to the high accuracy and the possibility of using fast algorithms, represent an effective way to approximate collisional kinetic equations in kinetic theory. On the other hand, the loss of some local invariants can…
We study a two-scale reaction-diffusion system with nonlinear reaction terms and a nonlinear transmission condition (remotely ressembling Henry's law) posed at air-liquid interfaces. We prove the rate of convergence of the two-scale…
We propose a new Neural Galerkin Normalizing Flow framework to approximate the transition probability density function of a diffusion process by solving the corresponding Fokker-Planck equation with an atomic initial distribution,…
We introduce the first-order system proximal Galerkin (FOSPG) method, a locally mass-conserving, hybridizable finite element method for solving heterogeneous anisotropic diffusion and obstacle problems. Like other proximal Galerkin methods,…
We extend the finite element method introduced by Lakkis and Pryer [2011] to approximate the solution of second order elliptic problems in nonvariational form to incorporate the discontinuous Galerkin (DG) framework. This is done by viewing…
This paper is devoted to the numerical analysis of the Hermite spectral method proposed in [14], which provides, in the semiclassical limit, an asymptotic preserving approximation of the von Neumann equation. More precisely, it relies on…
Random feature approximation is arguably one of the most widely used techniques for kernel methods in large-scale learning algorithms. In this work, we analyze the generalization properties of random feature methods, extending previous…
The enhanced Gaussian noise (EGN) model, which accounts for inter-channel stimulated Raman scattering (ISRS), has been extensively utilized for evaluating nonlinear interference (NLI) within the C+L band. Compared to closed-form expressions…
Feedback particle filters (FPFs) are Monte-Carlo approximations of the solution of the filtering problem in continuous time. The samples or particles evolve according to a feedback control law in order to track the posterior distribution.…
We propose and analyze a time-stepping discontinuous Petrov-Galerkin method combined with the continuous conforming finite element method in space for the numerical solution of time-fractional subdiffusion problems. We prove the existence,…
The analysis of a delayed generalized Burgers-Huxley equation (a non-linear advection-diffusion-reaction problem) with weakly singular kernels is carried out in this work. Moreover, numerical approximations are performed using the…