Related papers: Equation-free optimal switching policies for bista…
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…
Particle-based kinetic Monte Carlo simulations of neutral particles is one of the major computational bottlenecks in tokamak scrape-off layer simulations. This computational cost comes from the need to resolve individual collision events in…
We propose a direct numerical method to calculate the statistics of the number of transitions in stochastic processes, without having to resort to Monte Carlo calculations. The method is based on a generating function method, and arbitrary…
We present an efficient Monte Carlo method to simulate reaction-diffusion processes with spatially varying particle annihilation or transformation rates as it occurs for instance in the context of motor-driven intracellular transport. Like…
We present a new paradigm for the dynamical simulation of interacting many-boson open quantum systems. The method relies on a variational ansatz for the $n$-boson density matrix, in terms of a superposition of photon-added coherent states.…
First of all, this paper presents some improvements of DSMC method in the form of new schemes and approaches, that, for a wide class of problems, increase performance and reduce the demands on computer resources. The most important…
The nonlinear gyrokinetic equations describe plasma turbulence in laboratory and astrophysical plasmas. To solve these equations, massively parallel codes have been developed and run on present-day supercomputers. This paper describes…
Adaptive multilevel splitting algorithms have been introduced rather recently for estimating tail distributions in a fast and efficient way. In particular, they can be used for computing the so-called reactive trajectories corresponding to…
This paper presents the jump law of co-states in optimal control for state-dependent switched systems. The number of switches and the switching modes are assumed to be known a priori. A proposed jump law is rigorously derived by theoretical…
Kinetic equations model the position-velocity distribution of particles subject to transport and collision effects. Under a diffusive scaling, these combined effects converge to a diffusion equation for the position density in the limit of…
This paper presents an algorithm for Monte Carlo fixed-lag smoothing in state-space models defined by a diffusion process observed through noisy discrete-time measurements. Based on a particles approximation of the filtering and smoothing…
The theory of stochastic resetting asserts that restarting a search process at certain times may accelerate the finding of a target. In the case of a classical diffusing particle trapped in a potential well, stochastic resetting may…
We present an application of equation-free computation to the coarse-grained feedback linearization problem of nonlinear systems described by microscopic/stochastic simulators. Feedback linearization with pole placement requires the…
We present a non-iterative algorithm, FloatStepper, for coupling the motion of a rigid body and an incompressible fluid in computational fluid dynamics (CFD) simulations. The purpose of the algorithm is to remove the so-called added mass…
This paper deals with an isoperimetric optimal control problem for nonlinear control-affine systems with periodic boundary conditions. As it was shown previously, the candidates for optimal controls for this problem can be obtained within…
We consider chemical reaction networks modeled by a discrete state and continuous in time Markov process for the vector copy number of the species and provide a novel particle filter method for state and parameter estimation based on exact…
We show that optimal control of the electron dynamics is able to prepare molecular ground states, within chemical accuracy, with evolution times approaching the bounds imposed by quantum mechanics. We propose a specific parameterization of…
In a 1996 paper, See$\beta$elberg, Trautmann and Thorn modified Gillespie's (1975) Monte Carlo algorithm which is used to stochastically simulate the collision and coalescence process. Their modification reduces the storage requirements of…
Specialized Monte Carlo methods are nowadays routinely employed, in combination with thermodynamic integration (TI), to locate phase boundaries of classical many-particle systems. This is especially useful for the fluid-solid transition,…
Here, we study the flow of energy between coupled simulators in a co-simulation environment using the concept of power bonds. We introduce energy residuals which are a direct expression of the coupling errors and hence the accuracy of…