检索结果-内蒙古大学图书馆

Unbiased Estimation using a Class of Diffusion Processes

学校读者我要写书评

暂无评论

arXiv 2022年

作者： Ruzayqat, Hamza Beskos, Alexandros Crisan, Dan Jasra, Ajay Kantas, Nikolas Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955-6900 KSA Saudi Arabia Department of Statistical Science University College London LondonWC1E 6BT United Kingdom Department of Mathematics Imperial College London LondonSW7 2AZ United Kingdom

We study the problem of unbiased estimation of expectations with respect to (w.r.t.) π a given, general probability measure on (d, B(d)) that is absolutely continuous with respect to a standard Gaussian measure. We focus on simulation associated to a particular class of diffusion processes, sometimes termed the Schrödinger-Föllmer Sampler, which is a simulation technique that approximates the law of a particular diffusion bridge process {Xt}tϵ[0,1]on d, d ϵ 0. This latter process is constructed such that, starting at X0= 0, one has X1∼ π. Typically, the drift of the diffusion is intractable and, even if it were not, exact sampling of the associated diffusion is not possible. As a result, [10, 16] consider a stochastic Euler-Maruyama scheme that allows the development of biased estimators for expectations w.r.t. π. We show that for this methodology to achieve a mean square error of O(ϵ2), for arbitrary ϵ > 0, the associated cost is O(ϵ-5). We then introduce an alternative approach that provides unbiased estimates of expectations w.r.t. π, that is, it does not suffer from the time discretization bias or the bias related with the approximation of the drift function. We prove that to achieve a mean square error of O(ϵ2), the associated cost (which is random) is, with high probability, O(ϵ-2| log(ϵ)|2+δ), for any δ > 0. We implement our method on several examples including Bayesian inverse *** Codes 60J60, 62D05, 65C40 © 2022, CC BY.

关键词： Diffusion

Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications

学校读者我要写书评

暂无评论

arXiv 2024年

作者： Iguchi, Yuga Jasra, Ajay Maama, Mohamed Beskos, Alexandros Department of Statistical Science University College London LondonWC1E 6BT United Kingdom School of Data Science The Chinese University of Hong Kong Shenzhen China Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955-6900 Saudi Arabia

In this paper we present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-elliptic. In particular, we consider the case where one has to resort to time discretization of the diffusion and numerical simulation of such schemes. Motivated by recent developments, we introduce a new MLMC estimator of expectations, which does not require simulation of intractable Lévy areas but has a weak error of order 2 and achieves the optimal computational complexity. We then show how this approach can be used in the context of the filtering problem associated to partially observed diffusions with discrete time observations. We illustrate with numerical simulations that our new approaches provide efficiency gains for several problems relative to some existing methods. © 2024, CC BY.

关键词： Diffusion

Disordered Heterogeneous Universe: Galaxy Distribution and Clustering across Length Scales

学校读者我要写书评

暂无评论

Physical Review X 2023年第1期13卷 011038-011038页

作者： Oliver H. E. Philcox Salvatore Torquato Department of Astrophysical Sciences Princeton University Princeton New Jersey 08540 USA School of Natural Sciences Institute for Advanced Study 1 Einstein Drive Princeton New Jersey 08540 USA Center for Theoretical Physics Department of Physics Columbia University New York New York 10027 USA Simons Foundation New York New York 10010 USA Department of Chemistry Department of Physics Princeton Materials Institute and Program in Applied and Computational Mathematics Princeton University Princeton New Jersey 08540 USA

The studies of disordered heterogeneous media and galaxy cosmology share a common goal: analyzing the disordered distribution of particles and/or building blocks at microscales to predict physical properties of the medium at macroscales, whether it be a liquid, colloidal suspension, composite material, galaxy cluster, or entire Universe. The theory of disordered heterogeneous media provides an array of theoretical and computational techniques to characterize a wide class of complex material microstructures. In this work, we apply them to describe the disordered distributions of galaxies obtained from recent suites of dark matter simulations. We focus on the determination of lower-order correlation functions, void and particle nearest-neighbor functions, certain cluster statistics, pair-connectedness functions, percolation properties, and a scalar order metric to quantify the degree of order. Compared to analogous homogeneous Poisson and typical disordered systems, the cosmological simulations exhibit enhanced large-scale clustering and longer tails in the void and particle nearest-neighbor functions, due to the presence of quasi-long-range correlations imprinted by early Universe physics, with a minimum particle separation far below the mean nearest-neighbor distance. On large scales, the system appears hyperuniform, as a result of primordial density fluctuations, while on the smallest scales, the system becomes almost antihyperuniform, as evidenced by its number variance. Additionally, via a finite-scaling analysis, we compute the percolation threshold of the galaxy catalogs, finding this to be significantly lower than for Poisson realizations (at reduced density ηc=0.25 in our fiducial analysis compared to ηc=0.34), with strong dependence on the mean density; this is consistent with the observation that the galaxy distribution contains voids of up to 50% larger radius. However, the two sets of simulations appear to share the same fractal dimension on scales much l

关键词： Large scale structure of the Universe

Preface of the symposium: “V-International Symposium of computational and Mathematical Modeling of Biologic and Medicine Targets”

学校读者我要写书评

暂无评论

AIP Conference Proceedings 2018年第1期2040卷

作者： Dilson Silva Celia M. Cortez 1Applied Mathematics Department Post-graduation Program in Computational Sciences and Post-graduation Program in Medical Sciences University of the State of Rio de Janeiro. Rua São Francisco Xavier 524 sala 6020 D 20550-900 - Rio de Janeiro / Brazil. Phone +55(21)34960298 Fax +55(21)34960298

Dilson Silva, Celia M. Cortez; Preface of the symposium: “V-International Symposium of computational and Mathematical Modeling of Biologic and Medicine Targets”

关键词：

Multigoal-oriented error estimation and mesh adaptivity for fluid-structure interaction

学校读者我要写书评

暂无评论

arXiv 2021年

作者： Ahuja, K. Endtmayer, B. Steinbach, M.C. Wick, Thomas Discipline of Computer Science and Engineering Indian Institute of Technology Indore India Leibniz Universität Hannover Institut für Angewandte Mathematik Welfengarten 1 Hannover30167 Germany Leibniz Universität Hannover Germany Université Paris-Saclay ENS Paris-Saclay LMT - Laboratoire de Mécanique et Technologie Gif-sur-Yvette91190 France Johannes Kepler University Linz Doctoral Program on Computational Mathematics Altenbergerstr. 69 LinzA-4040 Austria Austrian Academy of Sciences Johann Radon Institute for Computational and Applied Mathematics Altenbergerstr. 69 LinzA-4040 Austria

In this work, we consider multigoal-oriented error estimation for stationary fluid-structure interaction. The problem is formulated within a variational-monolithic setting using arbitrary Lagrangian-Eulerian coordinates. Employing the dual-weighted residual method for goal-oriented a posteriori error estimation, adjoint sensitivities are required. For multigoal-oriented error estimation, a combined functional is formulated such that several quantities of interest are controlled simultaneously. As localization technique for mesh refinement we employ a partition-of-unity. Our algorithmic developments are substantiated with several numerical tests such as an elastic lid-driven cavity with two goal functionals, an elastic bar in a chamber with two goal functionals, and the FSI-1 benchmark with three goal *** Codes 65N30, 65N50, 74F10 © 2021, CC BY-NC-ND.

关键词： Fluid structure interaction

Quality of internal representation shapes learning performance in feedback neural networks

学校读者我要写书评

暂无评论

Physical Review Research 2021年第1期3卷 013176-013176页

作者： Lee Susman Francesca Mastrogiuseppe Naama Brenner Omri Barak Interdisciplinary Program in Applied Mathematics Technion Israel Institute of Technology Haifa 32000 Israel Network Biology Research Laboratories Technion Israel Institute of Technology Haifa 32000 Israel Gatsby Computational Neuroscience Unit University College London London W1T 4JG United Kingdom Department of Chemical Engineering Technion Israel Institute of Technology Haifa 32000 Israel Rappaport Faculty of Medicine Technion Israel Institute of Technology Haifa 32000 Israel

A fundamental feature of complex biological systems is the ability to form feedback interactions with their environment. A prominent model for studying such interactions is reservoir computing, where learning acts on low-dimensional bottlenecks. Despite the simplicity of this learning scheme, the factors contributing to or hindering the success of training in reservoir networks are in general not well understood. In this work, we study nonlinear feedback networks trained to generate a sinusoidal signal, and analyze how learning performance is shaped by the interplay between internal network dynamics and target properties. By performing exact mathematical analysis of linearized networks, we predict that learning performance is maximized when the target is characterized by an optimal, intermediate frequency which monotonically decreases with the strength of the internal reservoir connectivity. At the optimal frequency, the reservoir representation of the target signal is high-dimensional, desynchronized, and thus maximally robust to noise. We show that our predictions successfully capture the qualitative behavior of performance in nonlinear networks. Moreover, we find that the relationship between internal representations and performance can be further exploited in trained nonlinear networks to explain behaviors which do not have a linear counterpart. Our results indicate that a major determinant of learning success is the quality of the internal representation of the target, which in turn is shaped by an interplay between parameters controlling the internal network and those defining the task.

关键词： Learning theory Artificial neural networks Dynamical systems Neuronal network models

Multigoal-oriented optimal control problems with nonlinear PDE constraints

学校读者我要写书评

暂无评论

arXiv 2019年

作者： Endtmayer, B. Langer, U. Neitzel, I. Wick, T. Wollner, W. Doctoral Program on Computational Mathematics Johannes Kepler University Altenbergerstr. 69 LinzA-4040 Austria Johann Radon Institute for Computational and Applied Mathematics Austrian Academy of Sciences Altenbergerstr. 69 LinzA-4040 Austria Institut für Numerische Simulation Endenicher Allee 19b Bonn53115 Germany Institut für Angewandte Mathematik Leibniz Universität Hannover Welfengarten 1 Hannover30167 Germany Leibniz Universität Hannover Germany Technische Universität Darmstadt Fachbereich Mathematik Dolivostr. 15 Darmstadt64293 Germany

In this work, we consider an optimal control problem subject to a nonlinear PDE constraint and apply it to the regularized p-Laplace equation. To this end, a reduced unconstrained optimization problem in terms of the control variable is formulated. Based on the reduced approach, we then derive an a posteriori error representation and mesh adaptivity for multiple quantities of interest. All quantities are combined to one, and then the dual-weighted residual (DWR) method is applied to this combined functional. Furthermore, the estimator allows for balancing the discretization error and the nonlinear iteration error. These developments allow us to formulate an adaptive solution strategy, which is finally substantiated via several numerical examples. Copyright © 2019, The Authors. All rights reserved.

关键词： Optimal control systems

Time-stepping approach for solving upper-bound problems: Application to two-dimensional Rayleigh-Bénard convection

学校读者我要写书评

暂无评论

Physical Review E 2015年第4期92卷 043012-043012页

作者： Baole Wen Gregory P. Chini Rich R. Kerswell Charles R. Doering Program in Integrated Applied Mathematics University of New Hampshire Durham New Hampshire 03824 USA Center for Fluid Physics University of New Hampshire Durham New Hampshire 03824 USA The Institute for Computational Engineering and Sciences The University of Texas at Austin Austin Texas 78712 USA Department of Mechanical Engineering University of New Hampshire Durham New Hampshire 03824 USA School of Mathematics University of Bristol University Walk Bristol BS8 1TW United Kingdom Department of Physics University of Michigan Ann Arbor Michigan 48109-1040 USA Department of Mathematics University of Michigan Ann Arbor Michigan 48109-1043 USA Center for the Study of Complex Systems University of Michigan Ann Arbor Michigan 48109-1107 USA

An alternative computational procedure for numerically solving a class of variational problems arising from rigorous upper-bound analysis of forced-dissipative infinite-dimensional nonlinear dynamical systems, including the Navier-Stokes and Oberbeck-Boussinesq equations, is analyzed and applied to Rayleigh-Bénard convection. A proof that the only steady state to which this numerical algorithm can converge is the required global optimal of the relevant variational problem is given for three canonical flow configurations. In contrast with most other numerical schemes for computing the optimal bounds on transported quantities (e.g., heat or momentum) within the “background field” variational framework, which employ variants of Newton's method and hence require very accurate initial iterates, the new computational method is easy to implement and, crucially, does not require numerical continuation. The algorithm is used to determine the optimal background-method bound on the heat transport enhancement factor, i.e., the Nusselt number (Nu), as a function of the Rayleigh number (Ra), Prandtl number (Pr), and domain aspect ratio L in two-dimensional Rayleigh-Bénard convection between stress-free isothermal boundaries (Rayleigh's original 1916 model of convection). The result of the computation is significant because analyses, laboratory experiments, and numerical simulations have suggested a range of exponents α and β in the presumed Nu∼PrαRaβ scaling relation. The computations clearly show that for Ra≤1010 at fixed L=22,Nu≤0.106Pr0Ra5/12, which indicates that molecular transport cannot generally be neglected in the “ultimate” high-Ra regime.

关键词： RAYLEIGH-Benard convection RESEARCH BOUNDS (mathematics) CONVECTIVE flow (Fluid dynamics) NATURAL heat convection NUSSELT number

Ergodic directional switching in mobile insect groups

学校读者我要写书评

暂无评论

Physical Review E 2010年第1期82卷 011926-011926页

作者： Carlos Escudero Christian A. Yates Jerome Buhl Iain D. Couzin Radek Erban Ioannis G. Kevrekidis Philip K. Maini ICMAT (CSIC-UAM-UC3M-UCM) Departamento de Matemáticas Facultad de Ciencias Universidad Autónoma de Madrid Ciudad Universitaria de Cantoblanco 28049 Madrid Spain Centre for Mathematical Biology Mathematical Institute University of Oxford 24-29 St. Giles’ Oxford OX1 3LB United Kingdom School of Biological Sciences and Centre for Mathematical Biology Heydon-Laurence Building A08 The University of Sydney Sydney New South Wales Australia Department of Ecology and Evolutionary Biology Princeton University Princeton New Jersey 08544 USA Oxford Centre for Collaborative Applied Mathematics Mathematical Institute University of Oxford 24-29 St. Giles’ Oxford OX1 3LB United Kingdom Department of Chemical Engineering Program in Applied and Computational Mathematics and Mathematics Princeton University Princeton New Jersey 08544 USA Department of Biochemistry Oxford Centre for Integrative Systems Biology University of Oxford South Parks Road Oxford OX1 3QU United Kingdom

We obtain a Fokker-Planck equation describing experimental data on the collective motion of locusts. The noise is of internal origin and due to the discrete character and finite number of constituents of the swarm. The stationary probability distribution shows a rich phenomenology including nonmonotonic behavior of several order and disorder transition indicators in noise intensity. This complex behavior arises naturally as a result of the randomness in the system. Its counterintuitive character challenges standard interpretations of noise induced transitions and calls for an extension of this theory in order to capture the behavior of certain classes of biologically motivated models. Our results suggest that the collective switches of the group’s direction of motion might be due to a random ergodic effect and, as such, they are inherent to group formation.

关键词： Fokker Planck equation