相关论文: Optimized high-order splitting methods for some cl…
The key difficulty to develop efficient high-order methods for integrating stochastic differential equations lies in the calculations of the multiple stochastic integrals. This letter suggests a scheme to compute the stochastic integrals…
Using Suzuki-Trotter decompositions of exponential operators we describe new algorithms for the numerical integration of the equations of motion for classical spin systems. These techniques conserve spin length exactly and, in special…
We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show…
A computationally efficient high-order solver is developed to compute the wall distances by solving the relevant partial differential equations, namely: Eikonal, Hamilton-Jacobi (HJ) and Poisson equations. In contrast to the upwind schemes…
We develop and analyze several different second-order algorithms for computing a near-optimal solution path of a convex parametric optimization problem with smooth Hessian. Our algorithms are inspired by a differential equation perspective…
Using geometric methods for linearizing systems of second order cubically semi-linear ordinary differential equations and third order quintically semi-linear ordinary differential equations, we extend to the fourth order by differentiating…
A series of robust and optimal mixed methods based on two mixed formulations of the fourth-order elliptic singular perturbation problem are developed in this paper. First, a mixed method based on a second-order system is proposed without…
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic…
In this paper, we present a class of high-order and efficient compact difference schemes for nonlinear convection diffusion equations, which can preserve both bounds and mass. For the one-dimensional problem, we first introduce a high-order…
Successive quadratic approximations, or second-order proximal methods, are useful for minimizing functions that are a sum of a smooth part and a convex, possibly nonsmooth part that promotes regularization. Most analyses of iteration…
Runge-Kutta methods are a popular class of numerical methods for solving ordinary differential equations. Every Runge-Kutta method is characterized by two basic parameters: its order, which measures the accuracy of the solution it produces,…
This paper can be seen as an attempt of rethinking the {\em Extra-Gradient Philosophy} for solving Variational Inequality Problems. We show that the properly defined {\em Reduced Gradients} can be used instead for finding approximate…
In this paper we introduce a numerical method for nonlinear parabolic PDEs that combines operator splitting with deep learning. It divides the PDE approximation problem into a sequence of separate learning problems. Since the computational…
Lie-Trotter-Suzuki decompositions are an efficient way to approximate operator exponentials $\exp(t H)$ when $H$ is a sum of $n$ (non-commuting) terms which, individually, can be exponentiated easily. They are employed in time-evolution…
In this paper, we propose algorithms to compute differential Chow forms for prime differential ideals which are given by their characteristic sets. The main algorithm is based on an optimal bound for the order of a prime differential ideal…
A novel optimization procedure for the generation of stability polynomials of stabilized explicit Runge-Kutta methods is devised. Intended for semidiscretizations of hyperbolic partial differential equations, the herein developed approach…
In this paper, we investigate superintegrable systems which separate in parabolic coordinates and admit a third-order integral of motion. We give the corresponding determining equations and show that all such systems are multi-separable and…
Hirota's bilinear method ("direct method") has been very effective in constructing soliton solutions to many integrable equations. The construction of one- and two-soliton solutions is possible even for non-integrable bilinear equations,…
This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations…
Necessary conditions for high-order optimality in smooth nonlinear constrained optimization are explored and their inherent intricacy discussed. A two-phase minimization algorithm is proposed which can achieve approximate first-, second-…