相关论文: Exact Simulation of the Extrema of Stable Processe…
We present maximally-fast numerical algorithms for conserved coarsening systems that are stable and accurate with a growing natural time-step $\Delta t=A t_s^{2/3}$. For non-conserved systems, only effectively finite timesteps are…
The development of finite/fixed-time stable optimization algorithms typically involves study of specific problem instances. The lack of a unified framework hinders understanding of more sophisticated algorithms, e.g., primal-dual gradient…
Simulation of a quantum many-body system at finite temperatures is crucially important but quite challenging. Here we present an experimentally feasible quantum algorithm assisted with continuous-variable for simulating quantum systems at…
We consider a process $Z$ on the real line composed from a L\'evy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$…
For a continuous function $f$ defined on a closed and bounded domain, there is at least one maximum and one minimum. First, we introduce some preliminaries which are necessary through the paper. We then present an algorithm, which is…
Hybrid systems, and Piecewise Deterministic Markov Processes in particular, are widely used to model and numerically study systems exhibiting multiple time scales in biochemical reaction kinetics and related areas. In this paper an almost…
In this paper the finite-time stabilization problem is solved for a linear time-varying system with unknown control direction by exploiting a modified version of the classical extremum seeking algorithm. We propose to use a suitable…
Fixed-time stable dynamical systems are capable of achieving exact convergence to an equilibrium point within a fixed time that is independent of the initial conditions of the system. This property makes them highly appealing for designing…
The discrete class algorithm presented in this paper is an efficient simulation tool for stochastic processes governed by a reasonably small set of transition rates. The algorithm is presented, its performance compared to prevailing methods…
We introduce a new class of extremum seeking controllers able to achieve fixed time convergence to the solution of optimization problems defined by static and dynamical systems. Unlike existing approaches in the literature, the convergence…
The problem of simulating the thermal behavior of quantum systems remains a central open challenge in quantum computing. Unlike well-established quantum algorithms for unitary dynamics, \emph{provably efficient} algorithms for preparing…
In this article we introduce two new perfect simulation algorithms for chains with infinite memory. Both algorithms belong to the coupling of past procedures. The novelty of our approach is that it allows to include unknown states to the…
Given a stable L\'{e}vy process $X=(X_t)_{0\le t\le T}$ of index $\alpha\in(1,2)$ with no negative jumps, and letting $S_t=\sup_{0\le s\le t}X_s$ denote its running supremum for $t\in [0,T]$, we consider the optimal prediction problem…
We consider perfect simulation algorithms for locally stable point processes based on dominated coupling from the past, and apply these methods in two different contexts. A new version of the algorithm is developed which is feasible for…
We consider the problem of finding a stopping time that minimises the $L^1$-distance to $\theta$, the time at which a L\'evy process attains its ultimate supremum. This problem was studied in [12] for a Brownian motion with drift and a…
This work presents a faster method of simulating exactly from a distribution known as a Vervaat perpetuity. A parameter of the Vervaat perpetuity is $\beta \in (0,\infty)$. An earlier method for simulating from this distributon ran in time…
In this paper a general approach for the perfect simulation of a stationary process with at most countable state space is outlined. The process is specified through a kernel, prescribing the probability of each state conditional to the…
Self-stabilization ensures that, after any transient fault, the system recovers in a finite time and eventually exhibits a correct behaviour. Speculation consists in guaranteeing that the system satisfies its requirements for any execution…
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
We develop a computational method for expected functionals of the drawdown and its duration in exponential L\'evy models. It is based on a novel simulation algorithm for the joint law of the state, supremum and time the supremum is attained…