Designing efficient and rigorous numerical methods for sequential decision-making under uncertainty is a difficult problem that arises in many applications frameworks. In this paper we focus on the numerical solution of a subclass of impulse control problem for piecewise deterministic Markov process (PDMP) when the jump times are hidden. We first state the problem as a partially observed Markov decision process (POMDP) on a continuous state space and with controlled transition kernels corresponding to some specific skeleton chains of the PDMP. Then we proceed to build a numerically tractable approximation of the POMDP by tailor-made discretizations of the state spaces. The main difficulty in evaluating the discretization error come from the possible random or boundary jumps of the PDMP between consecutive epochs of the POMDP and requires special care. Finally we extensively discuss the practical construction of discretization grids and illustrate our method on simulations.
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Permutation tests are widely recognized as robust alternatives to tests based on the normal theory. Random permutation tests have been frequently employed to assess the significance of variables in linear models. Despite their widespread use, existing random permutation tests lack finite-sample and assumption-free guarantees for controlling type I error in partial correlation tests. To address this standing challenge, we develop a conformal test through permutation-augmented regressions, which we refer to as PALMRT. PALMRT not only achieves power competitive with conventional methods but also provides reliable control of type I errors at no more than $2\alpha$ given any targeted level $\alpha$, for arbitrary fixed-designs and error distributions. We confirmed this through extensive simulations. Compared to the cyclic permutation test (CPT), which also offers theoretical guarantees, PALMRT does not significantly compromise power or set stringent requirements on the sample size, making it suitable for diverse biomedical applications. We further illustrate their differences in a long-Covid study where PALMRT validated key findings previously identified using the t-test, while CPT suffered from a drastic loss of power. We endorse PALMRT as a robust and practical hypothesis test in scientific research for its superior error control, power preservation, and simplicity.
In general, high order splitting methods suffer from an order reduction phenomena when applied to the time integration of partial differential equations with non-periodic boundary conditions. In the last decade, there were introduced several modifications to prevent the second order Strang Splitting method from such a phenomena. In this article, inspired by these recent corrector techniques, we introduce a splitting method of order three for a class of semilinear parabolic problems that avoids order reduction in the context of non-periodic boundary conditions. We give a proof for the third order convergence of the method in a simplified linear setting and confirm the result by numerical experiments. Moreover, we show numerically that the high order convergence persists for an order four variant of a splitting method, and also for a nonlinear source term.
Conditional graph entropy is known to be the minimal rate for a natural functional compression problem with side information at the receiver. In this paper we show that it can be formulated as an alternating minimization problem, which gives rise to a simple iterative algorithm for numerically computing (conditional) graph entropy. This also leads to a new formula which shows that conditional graph entropy is part of a more general framework: the solution of an optimization problem over a convex corner. In the special case of graph entropy (i.e., unconditioned version) this was known due to Csisz\'ar, K\"orner, Lov\'asz, Marton, and Simonyi. In that case the role of the convex corner was played by the so-called vertex packing polytope. In the conditional version it is a more intricate convex body but the function to minimize is the same. Furthermore, we describe a dual problem that leads to an optimality check and an error bound for the iterative algorithm.
The (modern) arbitrary derivative (ADER) approach is a popular technique for the numerical solution of differential problems based on iteratively solving an implicit discretization of their weak formulation. In this work, focusing on an ODE context, we investigate several strategies to improve this approach. Our initial emphasis is on the order of accuracy of the method in connection with the polynomial discretization of the weak formulation. We demonstrate that precise choices lead to higher-order convergences in comparison to the existing literature. Then, we put ADER methods into a Deferred Correction (DeC) formalism. This allows to determine the optimal number of iterations, which is equal to the formal order of accuracy of the method, and to introduce efficient $p$-adaptive modifications. These are defined by matching the order of accuracy achieved and the degree of the polynomial reconstruction at each iteration. We provide analytical and numerical results, including the stability analysis of the new modified methods, the investigation of the computational efficiency, an application to adaptivity and an application to hyperbolic PDEs with a Spectral Difference (SD) space discretization.
Simulating physical problems involving multi-time scale coupling is challenging due to the need of solving these multi-time scale processes simultaneously. In response to this challenge, this paper proposed an explicit multi-time step algorithm coupled with a solid dynamic relaxation scheme. The explicit scheme simplifies the equation system in contrast to the implicit scheme, while the multi-time step algorithm allows the equations of different physical processes to be solved under different time step sizes. Furthermore, an implicit viscous damping relaxation technique is applied to significantly reduce computational iterations required to achieve equilibrium in the comparatively fast solid response process. To validate the accuracy and efficiency of the proposed algorithm, two distinct scenarios, i.e., a nonlinear hardening bar stretching and a fluid diffusion coupled with Nafion membrane flexure, are simulated. The results show good agreement with experimental data and results from other numerical methods, and the simulation time is reduced firstly by independently addressing different processes with the multi-time step algorithm and secondly decreasing solid dynamic relaxation time through the incorporation of damping techniques.
Multiscale stochastic dynamical systems have been widely adopted to scientific and engineering problems due to their capability of depicting complex phenomena in many real world applications. This work is devoted to investigating the effective reduced dynamics for a slow-fast stochastic dynamical system. Given observation data on a short-term period satisfying some unknown slow-fast stochastic system, we propose a novel algorithm including a neural network called Auto-SDE to learn invariant slow manifold. Our approach captures the evolutionary nature of a series of time-dependent autoencoder neural networks with the loss constructed from a discretized stochastic differential equation. Our algorithm is also proved to be accurate, stable and effective through numerical experiments under various evaluation metrics.
This paper shows how to use the shooting method, a classical numerical algorithm for solving boundary value problems, to compute the Riemannian distance on the Stiefel manifold $\mathrm{St}(n,p)$, the set of $ n \times p $ matrices with orthonormal columns. The main feature is that we provide neat, explicit expressions for the Jacobians. To the author's knowledge, this is the first time some explicit formulas are given for the Jacobians involved in the shooting methods to find the distance between two given points on the Stiefel manifold. This allows us to perform a preliminary analysis for the single shooting method. Numerical experiments demonstrate the algorithms in terms of accuracy and performance. Finally, we showcase three example applications in summary statistics, shape analysis, and model order reduction.
A novel and fully distributed optimization method is proposed for the distributed robust convex program (DRCP) over a time-varying unbalanced directed network without imposing any differentiability assumptions. Firstly, a tractable approximated DRCP (ADRCP) is introduced by discretizing the semi-infinite constraints into a finite number of inequality constraints and restricting the right-hand side of the constraints with a proper positive parameter, which will be iteratively solved by a random-fixed projection algorithm. Secondly, a cutting-surface consensus approach is proposed for locating an approximately optimal consensus solution of the DRCP with guaranteed feasibility. This approach is based on iteratively approximating the DRCP by successively reducing the restriction parameter of the right-hand constraints and populating the cutting-surfaces into the existing finite set of constraints. Thirdly, to ensure finite-time convergence of the distributed optimization, a distributed termination algorithm is developed based on uniformly local consensus and zeroth-order optimality under uniformly strongly connected graphs. Fourthly, it is proved that the cutting-surface consensus approach converges within a finite number of iterations. Finally, the effectiveness of the approach is illustrated through a numerical example.
A general class of the almost instantaneous fixed-to-variable-length (AIFV) codes is proposed, which contains every possible binary code we can make when allowing finite bits of decoding delay. The contribution of the paper lies in the following. (i) Introducing $N$-bit-delay AIFV codes, constructed by multiple code trees with higher flexibility than the conventional AIFV codes. (ii) Proving that the proposed codes can represent any uniquely-encodable and uniquely-decodable variable-to-variable length codes. (iii) Showing how to express codes as multiple code trees with minimum decoding delay. (iv) Formulating the constraints of decodability as the comparison of intervals in the real number line. The theoretical results in this paper are expected to be useful for further study on AIFV codes.
In this paper, two novel classes of implicit exponential Runge-Kutta (ERK) methods are studied for solving highly oscillatory systems. Firstly, we analyze the symplectic conditions for two kinds of exponential integrators and obtain the symplectic method. In order to effectively solve highly oscillatory problems, we try to design the highly accurate implicit ERK integrators. By comparing the Taylor series expansion of numerical solution with exact solution, it can be verified that the order conditions of two new kinds of exponential methods are identical to classical Runge-Kutta (RK) methods, which implies that using the coefficients of RK methods, some highly accurate numerical methods are directly formulated. Furthermore, we also investigate the linear stability properties for these exponential methods. Finally, numerical results not only display the long time energy preservation of the symplectic method, but also present the accuracy and efficiency of these formulated methods in comparison with standard ERK methods.
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