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We present a stochastic descent algorithm for unconstrained optimization that is particularly efficient when the objective function is slow to evaluate and gradients are not easily obtained, as in some PDE-constrained optimization and…
This paper develops a new class of algorithms for general linear systems and eigenvalue problems. These algorithms apply fast randomized sketching to accelerate subspace projection methods, such as GMRES and Rayleigh--Ritz. This approach…
Ordinary differential equation (ODE) is widely used in modeling biological and physical processes in science. In this article, we propose a new reproducing kernel-based approach for estimation and inference of ODE given noisy observations.…
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The proposed method is extended from Reisinger and Wittum (2007) and…
This paper presents high-order numerical methods for solving boundary value problems associated with the Lane-Emden equation, which frequently arises in astrophysics and various nonlinear models. A major challenge in studying this equation…
The space nonlocal Allen-Cahn equation is a famous example of fractional reaction-diffusion equations. It is also an extension of the classical Allen-Cahn equation, which is widely used in physics to describe the phenomenon of two-phase…
Ordinary differential equations (ODEs) are a mathematical model used in many application areas such as climatology, bioinformatics, and chemical engineering with its intuitive appeal to modeling. Despite ODE's wide usage in modeling, the…
Multipoint polynomial evaluation and interpolation are fundamental for modern symbolic and numerical computing. The known algorithms solve both problems over any field of constants in nearly linear arithmetic time, but the cost grows to…
In this paper we analyze several new methods for solving nonconvex optimization problems with the objective function formed as a sum of two terms: one is nonconvex and smooth, and another is convex but simple and its structure is known.…
The Sum-of-Squares (SOS) approximation method is a technique used in optimization problems to derive lower bounds on the optimal value of an objective function. By representing the objective function as a sum of squares in a feature space,…
Accurate, high-resolution, and real-time DOA estimation is a cornerstone of environmental perception in automotive radar systems. While sparse signal recovery techniques offer super-resolution and high-precision estimation, their…
Solving inverse and optimization problems over solutions of nonlinear partial differential equations (PDEs) on complex spatial domains is a long-standing challenge. Here we introduce a method that parameterizes the solution using spectral…
The present paper proposes an inf-sup stable divergence free virtual element method and associated a priori, and a posteriori error analysis to approximate the eigenvalues and eigenfunctions of the Stokes spectral problem in one shot. For…
Discrete optimization problems often arise in deep learning tasks, despite the fact that neural networks typically operate on continuous data. One class of these problems involve objective functions which depend on neural networks, but…
We propose an algebraic method that finds a sequence of functions that exponentially approach the solution of any second-order ordinary differential equation (ODE) with any boundary conditions. We define an extended ODE (eODE) composed of a…
Numerically solving ordinary differential equations (ODEs) is a naturally serial process and as a result the vast majority of ODE solver software are serial. In this manuscript we developed a set of parallelized ODE solvers using…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
Estimating relative camera poses from consecutive frames is a fundamental problem in visual odometry (VO) and simultaneous localization and mapping (SLAM), where classic methods consisting of hand-crafted features and sampling-based outlier…
In this paper, we develop a new method for the fast and memory-efficient computation of Slepian functions on the sphere. Slepian functions, which arise as the solution of the Slepian concentration problem on the sphere, have desirable…
We present a probabilistic algorithm to compute the product of two univariate sparse polynomials over a field with a number of bit operations that is quasi-linear in the size of the input and the output. Our algorithm works for any field of…