相关论文: A unified approach for the solution of the Fokker-…
This paper deals with uncertainty propagation of general stochastic hybrid systems (GSHS) where the continuous state space is a compact Lie group. A computational framework is proposed to solve the Fokker-Planck (FP) equation that describes…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
We consider a system of Fokker-Planck-Kolmogorov (FPK) equations, where the dependence of the coefficients is nonlinear and nonlocal in time with respect to the unknowns. We extend the numerical scheme proposed and studied recently by the…
In this paper, we develop a new deflation technique for refining or verifying the isolated singular zeros of polynomial systems. Starting from a polynomial system with an isolated singular zero, by computing the derivatives of the input…
We consider the Frank-Wolfe algorithm for solving variational inequalities over compact, convex sets under a monotone $C^1$ operator and vanishing, nonsummable step sizes. We introduce a continuous-time interpolation of the discrete…
We propose a Hermite-Galerkin spectral method to numerically solve the spatially homogeneous Fokker-Planck-Landau equation with singular quadratic collision model. To compute the collision model, we adopt a novel approximation formulated by…
Randomized numerical linear algebra is proved to bridge theoretical advancements to offer scalable solutions for approximating tensor decomposition. This paper introduces fast randomized algorithms for solving the fixed Tucker-rank problem…
Motivated by fractional derivative models in viscoelasticity, a class of semilinear stochastic Volterra integro-differential equations, and their deterministic counterparts, are considered. A generalized exponential Euler method, named here…
The Fokker-Planck equations for stochastic dynamical systems, with non-Gaussian $\alpha-$stable symmetric L\'evy motions, have a nonlocal or fractional Laplacian term. This nonlocality is the manifestation of the effect of non-Gaussian…
We propose a fixed-point-based numerical framework for computing stationary states of nonlocal Fokker-Planck-type equations. Instead of discretising the differential operators directly, we reformulate the stationary problem as a nonlinear…
The convergence properties of the stationary Fokker-Planck algorithm for the estimation of the asymptotic density of stochastic search processes is studied. Theoretical and empirical arguments for the characterization of convergence of the…
The steady state of the Fokker-Planck equation corresponding to a density dependent one-step process is approximated by a suitable normal distribution. Starting from the master equations of the process, written in terms of the time…
The nonlocal Cahn-Hilliard equation provides a natural extension of the classical model for phase separation by incorporating long-range interactions through a singular convolution kernel. While this formulation admits a rich existence and…
By using similarity transformations approach, the exact propagator for a generalized one-dimensional Fokker-Planck equation, with linear drift force and space-time dependent diffusion coefficient, is obtained. The method is simple and…
We present recent finite element numerical results on a model convection-diffusion problem in the singular perturbed case when the convection term dominates the problem. We compare the standard Galerkin discretization using the linear…
We consider a rather general class of non-local in time Fokker-Planck equations and show by means of the entropy method that as $t\to \infty$ the solution converges in $L^1$ to the unique steady state. Important special cases are the…
First order optimization algorithms play a major role in large scale machine learning. A new class of methods, called adaptive algorithms, were recently introduced to adjust iteratively the learning rate for each coordinate. Despite great…
The exact solution of the Cauchy problem for a generalized "linear" vectorial Fokker-Planck equation is found using the disentangling techniques of R. Feynman and algebraic (operational) methods. This approach may be considered as a…
A new algorithm for the efficient numerical approximation of weakly singular integrals over convex polytopes is introduced. Such integrals appear in the Galerkin discretizations of integral equations and nonlocal partial differential…
The discrete ordinates method can model forward-peaked transport problems accurately. However, convergence of discrete ordinates solution can become arbitrarily slow upon use of standard iterative procedures like source iteration and GMRES.…