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We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in two different benchmark models. The…

证券定价 · 定量金融 2016-09-20 Damiano Brigo , Clement Piat

We design and analyze a new adaptive stabilized finite element method. We construct a discrete approximation of the solution in a continuous trial space by minimizing the residual measured in a dual norm of a discontinuous test space that…

数值分析 · 数学 2020-04-22 Victor M. Calo , Alexandre Ern , Ignacio Muga , Sergio Rojas

In \cite{liu2022practical}, a general algorithm is developed to efficiently obtain the best accuracy using the regular refinement. The adaptive refinement allows for obtaining an accuracy with a smaller number of DoFs compared with the…

数值分析 · 数学 2025-03-25 Jie Liu

This article presents a general and novel approach to the automation of goal-oriented error control in the solution of nonlinear stationary finite element variational problems. The approach is based on automated linearization to obtain the…

数值分析 · 数学 2012-05-01 Marie E. Rognes , Anders Logg

Mesh adaption procedures for finite element approximation allows one to adapt the resolution, by local refinement in the regions of strong variation of the function of interest. This procedure plays a key role in numerous applications of…

数值分析 · 数学 2015-03-17 Jean-Marie Mirebeau

We introduce and analyze a new mixed finite element method with reduced symmetry for the standard linear model in viscoelasticity. Following a previous approach employed for linear elastodynamics, the present problem is formulated as a…

数值分析 · 数学 2020-05-05 Gabriel N. Gatica , Antonio Márquez , Salim Meddahi

Although the numerical results suggest the optimal convergence order of the two-grid finite element decoupled scheme for mixed Stokes-Darcy model with Beaver-Joseph-Saffman interface condition in literatures, the numerical analysis only get…

数值分析 · 数学 2016-02-08 Yanren Hou

Optimisation problems in science and engineering typically involve finding the ground state (i.e. the minimum energy configuration) of a cost function with respect to many variables. If the variables are corrupted by noise then this…

量子物理 · 物理学 2016-03-08 Nicholas Chancellor , Szilard Szoke , Walter Vinci , Gabriel Aeppli , Paul A. Warburton

This paper presents a new parameter estimation algorithm for the adaptive control of a class of time-varying plants. The main feature of this algorithm is a matrix of time-varying learning rates, which enables parameter estimation error…

最优化与控制 · 数学 2021-11-18 Joseph E. Gaudio , Anuradha M. Annaswamy , Eugene Lavretsky , Michael A. Bolender

This paper deals with the question of conditional sampling and prediction for the class of stationary max-stable processes which allow for a mixed moving maxima representation. We develop an exact procedure for conditional sampling using…

概率论 · 数学 2014-03-25 Marco Oesting , Martin Schlather

We define a new finite element method for a steady state elliptic problem with discontinuous diffusion coefficients where the meshes are not aligned with the interface. We prove optimal error estimates in the $L^2$ norm and $H^1$ weighted…

数值分析 · 数学 2016-10-18 Johnny Guzman , Manuel A. Sanchez , Marcus Sarkis

This article is concerned with the numerical solution of convex variational problems. More precisely, we develop an iterative minimisation technique which allows for the successive enrichment of an underlying discrete approximation space in…

数值分析 · 数学 2015-07-07 Paul Houston , Thomas P. Wihler

We discuss goal-oriented adaptivity in the frame of conforming finite element methods and plain convergence of the related a posteriori error estimator for different general marking strategies. We present an abstract analysis for two…

数值分析 · 数学 2024-07-30 Valentin Helml , Michael Innerberger , Dirk Praetorius

We consider the approximation in the reaction-diffusion norm with continuous finite elements and prove that the best error is equivalent to a sum of the local best errors on pairs of elements. The equivalence constants do not depend on the…

数值分析 · 数学 2018-03-07 Francesca Tantardini , Andreas Veeser , R"udiger Verf"urth

We introduce a novel algorithm for gradient-based optimization of stochastic objective functions. The method may be seen as a variant of SGD with momentum equipped with an adaptive learning rate automatically adjusted by an 'energy'…

最优化与控制 · 数学 2022-03-24 Hailiang Liu , Xuping Tian

Finite Element Exterior Calculus (FEEC) was developed by Arnold, Falk, Winther and others over the last decade to exploit the observation that mixed variational problems can be posed on a Hilbert complex, and Galerkin-type mixed methods can…

数值分析 · 数学 2018-12-04 Michael Holst , Yuwen Li , Adam Mihalik , Ryan Szypowski

We investigate the application of a posteriori error estimates to a fractional optimal control problem with pointwise control constraints. Specifically, we address a problem in which the state equation is formulated as an integral form of…

最优化与控制 · 数学 2023-10-10 Fangyuan Wang , Qiming Wang , Zhaojie Zhou

In this work we consider the primal mixed variational formulation of the Poisson equation with a line source. The analysis and approximation of this problem is non-standard as the line source causes the solutions to be singular. We start by…

偏微分方程分析 · 数学 2019-10-28 Ingeborg G. Gjerde , Kundan Kumar , Jan M. Nordbotten

In this paper, we study a maximization and a minimization problem associated with a Poisson boundary value problem. Optimal solutions in a set of rearrangements of a given function define stationary and stable flows of an ideal fluid in two…

最优化与控制 · 数学 2016-01-07 Seyyed Abbas Mohammadi

This tutorial introduces a systematic approach for addressing the key question of quantum metrology: For a generic task of sensing an unknown parameter, what is the ultimate precision given a constrained set of admissible strategies. The…

量子物理 · 物理学 2024-12-19 Qiushi Liu , Zihao Hu , Haidong Yuan , Yuxiang Yang