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We solve constrained optimal transport problems in which the marginal laws are given by the laws of solutions of stochastic differential equations (SDEs). We consider SDEs with irregular coefficients, making only minimal regularity assumptions. We show that the so-called synchronous coupling is optimal among bicausal couplings, that is couplings that respect the flow of information encoded in the stochastic processes. Our results provide a method to numerically compute the adapted Wasserstein distance between laws of SDEs with irregular coefficients. We show that this can be applied to quantifying model uncertainty in stochastic optimisation problems. Moreover, we introduce a transformation-based semi-implicit numerical scheme and establish the first strong convergence result for SDEs with exponentially growing and discontinuous drift.

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We develop both first and second order numerical optimization methods to solve non-smooth optimization problems featuring a shared sparsity penalty, constrained by differential equations with uncertainty. To alleviate the curse of dimensionality we use tensor product approximations. To handle the non-smoothness of the objective function we introduce a smoothed version of the shared sparsity objective. We consider both a benchmark elliptic PDE constraint, and a more realistic topology optimization problem. We demonstrate that the error converges linearly in iterations and the smoothing parameter, and faster than algebraically in the number of degrees of freedom, consisting of the number of quadrature points in one variable and tensor ranks. Moreover, in the topology optimization problem, the smoothed shared sparsity penalty actually reduces the tensor ranks compared to the unpenalised solution. This enables us to find a sparse high-resolution design under a high-dimensional uncertainty.

The gradient bounds of generalized barycentric coordinates play an essential role in the $H^1$ norm approximation error estimate of generalized barycentric interpolations. Similarly, the $H^k$ norm, $k>1$, estimate needs upper bounds of high-order derivatives, which are not available in the literature. In this paper, we derive such upper bounds for the Wachspress generalized barycentric coordinates on simple convex $d$-dimensional polytopes, $d\ge 1$. The result can be used to prove optimal convergence for Wachspress-based polytopal finite element approximation of, for example, fourth-order elliptic equations. Another contribution of this paper is to compare various shape-regularity conditions for simple convex polytopes, and to clarify their relations using knowledge from convex geometry.

Transformers can efficiently learn in-context from example demonstrations. Most existing theoretical analyses studied the in-context learning (ICL) ability of transformers for linear function classes, where it is typically shown that the minimizer of the pretraining loss implements one gradient descent step on the least squares objective. However, this simplified linear setting arguably does not demonstrate the statistical efficiency of ICL, since the pretrained transformer does not outperform directly solving linear regression on the test prompt. In this paper, we study ICL of a nonlinear function class via transformer with nonlinear MLP layer: given a class of \textit{single-index} target functions $f_*(\boldsymbol{x}) = \sigma_*(\langle\boldsymbol{x},\boldsymbol{\beta}\rangle)$, where the index features $\boldsymbol{\beta}\in\mathbb{R}^d$ are drawn from a $r$-dimensional subspace, we show that a nonlinear transformer optimized by gradient descent (with a pretraining sample complexity that depends on the \textit{information exponent} of the link functions $\sigma_*$) learns $f_*$ in-context with a prompt length that only depends on the dimension of the distribution of target functions $r$; in contrast, any algorithm that directly learns $f_*$ on test prompt yields a statistical complexity that scales with the ambient dimension $d$. Our result highlights the adaptivity of the pretrained transformer to low-dimensional structures of the function class, which enables sample-efficient ICL that outperforms estimators that only have access to the in-context data.

The majority of fault-tolerant distributed algorithms are designed assuming a nominal corruption model, in which at most a fraction $f_n$ of parties can be corrupted by the adversary. However, due to the infamous Sybil attack, nominal models are not sufficient to express the trust assumptions in open (i.e., permissionless) settings. Instead, permissionless systems typically operate in a weighted model, where each participant is associated with a weight and the adversary can corrupt a set of parties holding at most a fraction $f_w$ of the total weight. In this paper, we suggest a simple way to transform a large class of protocols designed for the nominal model into the weighted model. To this end, we formalize and solve three novel optimization problems, which we collectively call the weight reduction problems, that allow us to map large real weights into small integer weights while preserving the properties necessary for the correctness of the protocols. In all cases, we manage to keep the sum of the integer weights to be at most linear in the number of parties, resulting in extremely efficient protocols for the weighted model. Moreover, we demonstrate that, on weight distributions that emerge in practice, the sum of the integer weights tends to be far from the theoretical worst case and, sometimes, even smaller than the number of participants. While, for some protocols, our transformation requires an arbitrarily small reduction in resilience (i.e., $f_w = f_n - \epsilon$), surprisingly, for many important problems, we manage to obtain weighted solutions with the same resilience ($f_w = f_n$) as nominal ones. Notable examples include erasure-coded distributed storage and broadcast protocols, verifiable secret sharing, and asynchronous consensus.

We propose a tamed-adaptive Milstein scheme for stochastic differential equations in which the first-order derivatives of the coefficients are locally H\"older continuous of order $\alpha$. We show that the scheme converges in the $L_2$-norm with a rate of $(1+\alpha)/2$ over both finite intervals $[0, T]$ and the infinite interval $(0, +\infty)$, under certain growth conditions on the coefficients.

Mobile devices and the Internet of Things (IoT) devices nowadays generate a large amount of heterogeneous spatial-temporal data. It remains a challenging problem to model the spatial-temporal dynamics under privacy concern. Federated learning (FL) has been proposed as a framework to enable model training across distributed devices without sharing original data which reduce privacy concern. Personalized federated learning (PFL) methods further address data heterogenous problem. However, these methods don't consider natural spatial relations among nodes. For the sake of modeling spatial relations, Graph Neural Netowork (GNN) based FL approach have been proposed. But dynamic spatial-temporal relations among edge nodes are not taken into account. Several approaches model spatial-temporal dynamics in a centralized environment, while less effort has been made under federated setting. To overcome these challeges, we propose a novel Federated Adaptive Spatial-Temporal Attention (FedASTA) framework to model the dynamic spatial-temporal relations. On the client node, FedASTA extracts temporal relations and trend patterns from the decomposed terms of original time series. Then, on the server node, FedASTA utilize trend patterns from clients to construct adaptive temporal-spatial aware graph which captures dynamic correlation between clients. Besides, we design a masked spatial attention module with both static graph and constructed adaptive graph to model spatial dependencies among clients. Extensive experiments on five real-world public traffic flow datasets demonstrate that our method achieves state-of-art performance in federated scenario. In addition, the experiments made in centralized setting show the effectiveness of our novel adaptive graph construction approach compared with other popular dynamic spatial-temporal aware methods.

We introduce forward-backward stochastic differential equations, highlighting the connection between solutions of these and solutions of partial differential equations, related by the Feynman-Kac theorem. We review the technique of approximating solutions to high dimensional partial differential equations using neural networks, and similarly approximate solutions of stochastic differential equations using multilevel Monte Carlo. Connecting the multilevel Monte Carlo method with the neural network framework using the setup established by E et al. and Raissi, we replicate many of their empirical results, and provide novel numerical analyses to produce strong error bounds for the specific framework of Raissi. Our results bound the overall strong error in terms of the maximum of the discretisation error and the neural network's approximation error. Our analyses are pivotal for applications of multilevel Monte Carlo, for which we propose suitable frameworks to exploit the variance structures of the multilevel estimators we elucidate. Also, focusing on the loss function advocated by Raissi, we expose the limitations of this, highlighting and quantifying its bias and variance. Lastly, we propose various avenues of further research which we anticipate should offer significant insight and speed improvements.

For linear inverse problems with Gaussian priors and observation noise, the posterior is Gaussian, with mean and covariance determined by the conditioning formula. We analyse measure approximation problems of finding the best approximation to the posterior in a family of Gaussians with approximate covariance or approximate mean, for Hilbert parameter spaces and finite-dimensional observations. We quantify the error of the approximating Gaussian either with the Kullback-Leibler divergence or the family of R\'{e}nyi divergences. Using the Feldman-Hajek theorem and recent results on reduced-rank operator approximations, we identify optimal solutions to these measure approximation problems. Our results extend those of Spantini et al. (SIAM J. Sci. Comput. 2015) to Hilbertian parameter spaces. In addition, our results show that the posterior differs from the prior only on a subspace of dimension equal to the rank of the Hessian of the negative log-likelihood, and that this subspace is a subspace of the Cameron-Martin space of the prior.

Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are particularly critical in calculating risk measures, such as Growth-at-Risk (GaR). % and Value-at-Risk (VaR). This work proposes a conformal framework to estimate calibrated quantiles, and presents an extensive simulation study and a real-world analysis of GaR to examine its benefits with respect to the state of the art. Our findings show that CP methods consistently improve the calibration and robustness of quantile estimates at all levels. The calibration gains are appreciated especially at extremal quantiles, which are critical for risk assessment and where traditional methods tend to fall short. In addition, we introduce a novel property that guarantees coverage under the exchangeability assumption, providing a valuable tool for managing risks by quantifying and controlling the likelihood of future extreme observations.

We present accurate and mathematically consistent formulations of a diffuse-interface model for two-phase flow problems involving rapid evaporation. The model addresses challenges including discontinuities in the density field by several orders of magnitude, leading to high velocity and pressure jumps across the liquid-vapor interface, along with dynamically changing interface topologies. To this end, we integrate an incompressible Navier-Stokes solver combined with a conservative level-set formulation and a regularized, i.e., diffuse, representation of discontinuities into a matrix-free adaptive finite element framework. The achievements are three-fold: First, we propose mathematically consistent definitions for the level-set transport velocity in the diffuse interface region by extrapolating the velocity from the liquid or gas phase. They exhibit superior prediction accuracy for the evaporated mass and the resulting interface dynamics compared to a local velocity evaluation, especially for strongly curved interfaces. Second, we show that accurate prediction of the evaporation-induced pressure jump requires a consistent, namely a reciprocal, density interpolation across the interface, which satisfies local mass conservation. Third, the combination of diffuse interface models for evaporation with standard Stokes-type constitutive relations for viscous flows leads to significant pressure artifacts in the diffuse interface region. To mitigate these, we propose to introduce a correction term for such constitutive model types. Through selected analytical and numerical examples, the aforementioned properties are validated. The presented model promises new insights in simulation-based prediction of melt-vapor interactions in thermal multiphase flows such as in laser-based powder bed fusion of metals.

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