We review how to simulate continuous determinantal point processes (DPPs) and improve the current simulation algorithms in several important special cases as well as detail how certain types of conditional simulation can be carried out. Importantly we show how to speed up the simulation of the widely used Fourier based projection DPPs, which arise as approximations of more general DPPs. The algorithms are implemented and published as open source software.
We aim to establish Bowen's equations for upper capacity invariance pressure and Pesin-Pitskel invariance pressure of discrete-time control systems. We first introduce a new invariance pressure called induced invariance pressure on partitions that specializes the upper capacity invariance pressure on partitions, and then show that the two types of invariance pressures are related by a Bowen's equation. Besides, to establish Bowen's equation for Pesin-Pitskel invariance pressure on partitions we also introduce a new notion called BS invariance dimension on subsets. Moreover, a variational principle for BS invariance dimension on subsets is established.
The Reynolds equation, combined with the Elrod algorithm for including the effect of cavitation, resembles a nonlinear convection-diffusion-reaction (CDR) equation. Its solution by finite elements is prone to oscillations in convection-dominated regions, which are present whenever cavitation occurs. We propose a stabilized finite-element method that is based on the variational multiscale method and exploits the concept of orthogonal subgrid scales. We demonstrate that this approach only requires one additional term in the weak form to obtain a stable method that converges optimally when performing mesh refinement.
We consider rather general structural equation models (SEMs) between a target and its covariates in several shifted environments. Given $k\in\N$ shifts we consider the set of shifts that are at most $\gamma$-times as strong as a given weighted linear combination of these $k$ shifts and the worst (quadratic) risk over this entire space. This worst risk has a nice decomposition which we refer to as the "worst risk decomposition". Then we find an explicit arg-min solution that minimizes the worst risk and consider its corresponding plug-in estimator which is the main object of this paper. This plug-in estimator is (almost surely) consistent and we first prove a concentration in measure result for it. The solution to the worst risk minimizer is rather reminiscent of the corresponding ordinary least squares solution in that it is product of a vector and an inverse of a Grammian matrix. Due to this, the central moments of the plug-in estimator is not well-defined in general, but we instead consider these moments conditioned on the Grammian inverse being bounded by some given constant. We also study conditional variance of the estimator with respect to a natural filtration for the incoming data. Similarly we consider the conditional covariance matrix with respect to this filtration and prove a bound for the determinant of this matrix. This SEM model generalizes the linear models that have been studied previously for instance in the setting of casual inference or anchor regression but the concentration in measure result and the moment bounds are new even in the linear setting.
In recent years, a growing number of method and application works have adapted and applied the causal-graphical-model framework to time series data. Many of these works employ time-resolved causal graphs that extend infinitely into the past and future and whose edges are repetitive in time, thereby reflecting the assumption of stationary causal relationships. However, most results and algorithms from the causal-graphical-model framework are not designed for infinite graphs. In this work, we develop a method for projecting infinite time series graphs with repetitive edges to marginal graphical models on a finite time window. These finite marginal graphs provide the answers to $m$-separation queries with respect to the infinite graph, a task that was previously unresolved. Moreover, we argue that these marginal graphs are useful for causal discovery and causal effect estimation in time series, effectively enabling to apply results developed for finite graphs to the infinite graphs. The projection procedure relies on finding common ancestors in the to-be-projected graph and is, by itself, not new. However, the projection procedure has not yet been algorithmically implemented for time series graphs since in these infinite graphs there can be infinite sets of paths that might give rise to common ancestors. We solve the search over these possibly infinite sets of paths by an intriguing combination of path-finding techniques for finite directed graphs and solution theory for linear Diophantine equations. By providing an algorithm that carries out the projection, our paper makes an important step towards a theoretically-grounded and method-agnostic generalization of a range of causal inference methods and results to time series.
This work is concerned with the uniform accuracy of implicit-explicit backward differentiation formulas for general linear hyperbolic relaxation systems satisfying the structural stability condition proposed previously by the third author. We prove the uniform stability and accuracy of a class of IMEX-BDF schemes discretized spatially by a Fourier spectral method. The result reveals that the accuracy of the fully discretized schemes is independent of the relaxation time in all regimes. It is verified by numerical experiments on several applications to traffic flows, rarefied gas dynamics and kinetic theory.
A finite element based computational scheme is developed and employed to assess a duality based variational approach to the solution of the linear heat and transport PDE in one space dimension and time, and the nonlinear system of ODEs of Euler for the rotation of a rigid body about a fixed point. The formulation turns initial-(boundary) value problems into degenerate elliptic boundary value problems in (space)-time domains representing the Euler-Lagrange equations of suitably designed dual functionals in each of the above problems. We demonstrate reasonable success in approximating solutions of this range of parabolic, hyperbolic, and ODE primal problems, which includes energy dissipation as well as conservation, by a unified dual strategy lending itself to a variational formulation. The scheme naturally associates a family of dual solutions to a unique primal solution; such `gauge invariance' is demonstrated in our computed solutions of the heat and transport equations, including the case of a transient dual solution corresponding to a steady primal solution of the heat equation. Primal evolution problems with causality are shown to be correctly approximated by non-causal dual problems.
The High-index saddle dynamics (HiSD) method serves as an efficient tool for computing saddle points and constructing solution landscapes. Nevertheless, the conventional HiSD method often encounters slow convergence rates on ill-conditioned problems. To address this challenge, we propose an accelerated high-index saddle dynamics (A-HiSD) by incorporating the heavy ball method. We prove the linear stability theory of the continuous A-HiSD, and subsequently estimate the local convergence rate for the discrete A-HiSD. Our analysis demonstrates that the A-HiSD method exhibits a faster convergence rate compared to the conventional HiSD method, especially when dealing with ill-conditioned problems. We also perform various numerical experiments including the loss function of neural network to substantiate the effectiveness and acceleration of the A-HiSD method.
This paper presents a novel boundary integral equation (BIE) formulation for the two-dimensional time-harmonic water-waves problem. It utilizes a complex-scaled Laplace's free-space Green's function, resulting in a BIE posed on the infinite boundaries of the domain. The perfectly matched layer (PML) coordinate stretching that is used to render propagating waves exponentially decaying, allows for the effective truncation and discretization of the BIE unbounded domain. We show through a variety of numerical examples that, despite the logarithmic growth of the complex-scaled Laplace's free-space Green's function, the truncation errors are exponentially small with respect to the truncation length. Our formulation uses only simple function evaluations (e.g. complex logarithms and square roots), hence avoiding the need to compute the involved water-wave Green's function. Finally, we show that the proposed approach can also be used to find complex resonances through a \emph{linear} eigenvalue problem since the Green's function is frequency-independent.
We propose a finite element discretization for the steady, generalized Navier-Stokes equations for fluids with shear-dependent viscosity, completed with inhomogeneous Dirichlet boundary conditions and an inhomogeneous divergence constraint. We establish (weak) convergence of discrete solutions as well as a priori error estimates for the velocity vector field and the scalar kinematic pressure. Numerical experiments complement the theoretical findings.
We present a multigrid algorithm to solve efficiently the large saddle-point systems of equations that typically arise in PDE-constrained optimization under uncertainty. The algorithm is based on a collective smoother that at each iteration sweeps over the nodes of the computational mesh, and solves a reduced saddle-point system whose size depends on the number $N$ of samples used to discretized the probability space. We show that this reduced system can be solved with optimal $O(N)$ complexity. We test the multigrid method on three problems: a linear-quadratic problem, possibly with a local or a boundary control, for which the multigrid method is used to solve directly the linear optimality system; a nonsmooth problem with box constraints and $L^1$-norm penalization on the control, in which the multigrid scheme is used within a semismooth Newton iteration; a risk-adverse problem with the smoothed CVaR risk measure where the multigrid method is called within a preconditioned Newton iteration. In all cases, the multigrid algorithm exhibits excellent performances and robustness with respect to the parameters of interest.