相关论文: Efficient numerical integrators for stochastic mod…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
A systematic Bayesian framework is developed for physics constrained parameter inference ofstochastic differential equations (SDE) from partial observations. The physical constraints arederived for stochastic climate models but are…
We construct flexible spatio-temporal models through stochastic partial differential equations (SPDEs) where both diffusion and advection can be spatially varying. Computations are done through a Gaussian Markov random field approximation…
Coarse-graining or model reduction is a term describing a range of approaches used to extend the time-scale of molecular simulations by reducing the number of degrees of freedom. In the context of molecular simulation, standard…
A template-based generic programming approach was presented in a previous paper that separates the development effort of programming a physical model from that of computing additional quantities, such as derivatives, needed for embedded…
In this paper, by using a Taylor development type formula, we show how it is possible to associate differential operators with stochastic differential equations driven by a fractional Brownian motion. As an application, we deduce that…
We present an intensity speckle simulation algorithm based on stochastic differential equations. Intensity speckles are generated with a negative exponential distribution and an exponential auto-correlation decay. The mean of the…
This work investigates variational compilation methods for simulating quantum systems with internal SU(2) symmetry. The central component of the research is the application of the Dynamic Mode Decomposition (DMD) method to extrapolate…
We introduce stochastic normalizing flows, an extension of continuous normalizing flows for maximum likelihood estimation and variational inference (VI) using stochastic differential equations (SDEs). Using the theory of rough paths, the…
We examine the numerical approximation of a quasilinear stochastic differential equation (SDE) with multiplicative fractional Brownian motion. The stochastic integral is interpreted in the Wick-It\^o-Skorohod (WIS) sense that is well…
We develop a new approach for solving stochastic quantum master equations with mixed initial states. First, we obtain that the solution of the jump-diffusion stochastic master equation is represented by a mixture of pure states satisfying a…
Stochastic differential equation (SDE in short) solvers find numerous applications across various fields. However, in practical simulations, we usually resort to using Ito-Taylor series-based methods like the Euler-Maruyama method. These…
In this paper we develop a stochastic integration theory for processes with values in a quasi-Banach space. The integrator is a cylindrical Brownian motion. The main results give sufficient conditions for stochastic integrability. They are…
We present a new method of conducting molecular dynamics simulation in isothermal-isobaric ensemble based on Langevin equations of motion. The stochastic coupling to all particle and cell degrees of freedoms is introduced in a correct way,…
This paper deals with the problem of efficient sampling from a stochastic differential equation, given the drift function and the diffusion matrix. The proposed approach leverages a recent model for probabilities \cite{rudi2021psd} (the…
Recently a splitting approach has been presented for the simulation of sonic-boom propagation. Splitting methods allow one to divide complicated partial differential equations into simpler parts that are solved by specifically tailored…
We introduce a new class of integrators for stiff ODEs as well as SDEs. These integrators are (i) {\it Multiscale}: they are based on flow averaging and so do not fully resolve the fast variables and have a computational cost determined by…
Distribution network operation is becoming more challenging because of the growing integration of intermittent and volatile distributed energy resources (DERs). This motivates the development of new distribution system state estimation…
We show how to increase the order of one-dimensional discrete gradient numerical integrator without losing its advantages, such as exceptional stability, exact conservation of the energy integral and exact preservation of the trajectories…
The Stochastic Series Expansion method (SSE) is a Quantum Monte Carlo (QMC) technique working directly in the imaginary time continuum and thus avoiding "Trotter discretization" errors. Using a non-local "operator-loop update" it allows…