相关论文: Hypercomplexification of SDEs Exact integration of…

Minimax optimization problems have attracted a lot of attention over the past few years, with applications ranging from economics to machine learning. While advanced optimization methods exist for such problems, characterizing their…

Simulation of stochastic spatially-extended systems is a challenging problem. The fundamental quantities in these models are individual entities such as molecules, cells, or animals, which move and react in a random manner. In big systems,…

Recently, a number of works have studied clustering strategies that combine classical clustering algorithms and deep learning methods. These approaches follow either a sequential way, where a deep representation is learned using a deep…

Explicit stabilized integrators are an efficient alternative to implicit or semi-implicit methods to avoid the severe timestep restriction faced by standard explicit integrators applied to stiff diffusion problems. In this paper, we provide…

Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality whereby increases in the stochastic…

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…

This paper proposes a semidefinite programming based method for estimating moments of a stochastic hybrid system (SHS). For polynomial SHSs -- which consist of polynomial continuous vector fields, reset maps, and transition intensities --…

Stochastic differential equations (SDEs) are of utmost importance in various scientific and industrial areas. They are the natural description of dynamical processes whose precise equations of motion are either not known or too expensive to…

Chordal and factor-width decomposition methods for semidefinite programming and polynomial optimization have recently enabled the analysis and control of large-scale linear systems and medium-scale nonlinear systems. Chordal decomposition…

A supersymmetric method for the construction of so-called conditionally exactly solvable quantum systems is reviewed and extended to classical stochastic dynamical systems characterized by a Fokker-Planck equation with drift. A class of…

We give exact formulae for a wide family of complexity measures that capture the organization of hidden nonlinear processes. The spectral decomposition of operator-valued functions leads to closed-form expressions involving the full…

We consider a wide class of semi linear Hamiltonian partial differential equa- tions and their approximation by time splitting methods. We assume that the nonlinearity is polynomial, and that the numerical tra jectory remains at least uni-…

We consider the numerical solution of high-frequency scattering problems modeled by the Helmholtz equation with a bounded obstacle. Although the analysis of this problem dates back at least 50 years, over the past decade or so, tools and…

We study a numerical method to compute probability density functions of solutions of stochastic differential equations. The method is sometimes called the numerical path integration method and has been shown to be fast and accurate in…

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…

We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the PDE is rewritten in its dual stochastic control…

Traditional simulations on High-Performance Computing (HPC) systems typically involve modeling very large domains and/or very complex equations. HPC systems allow running large models, but limits in performance increase that have become…

As a continuation of our previous work \cite{KV2} the aim of the recent paper is to investigate the solutions of special inhomogeneous linear functional equations by using spectral synthesis in translation invariant closed linear subspaces…

Datalog reasoning based on the semina\"ive evaluation strategy evaluates rules using traditional join plans, which often leads to redundancy and inefficiency in practice, especially when the rules are complex. Hypertree decompositions help…

We introduce a novel numerical method to integrate partial differential equations representing the Hamiltonian dynamics of field theories. It is a multi-symplectic integrator that locally conserves the stress-energy tensor with an excellent…