In this paper we consider the numerical solution of the two-dimensional time-dependent partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the two-asset Kou jump-diffusion model. Following the method of lines (MOL), we derive an efficient numerical method for the pertinent PIDCP. Here, for the discretization of the nonlocal double integral term, an extension is employed of the fast algorithm by Toivanen (2008) in the case of the one-asset Kou jump-diffusion model. For the temporal discretization, we study a useful family of second-order diagonally implicit Runge-Kutta (DIRK) methods. Their adaptation to the semidiscrete two-dimensional Kou PIDCP is obtained by means of an effective iteration introduced by d'Halluin, Forsyth & Labahn (2004) and d'Halluin, Forsyth & Vetzal (2005). Ample numerical experiments are presented showing that the proposed numerical method achieves a favourable, second-order convergence behaviour to the American two-asset option value as well as to its Greeks Delta and Gamma.
In this study, we present an optimal implicit algorithm specifically designed to accurately solve the multi-species nonlinear 0D-2V axisymmetric Fokker-Planck-Rosenbluth (FPR) collision equation while preserving mass, momentum, and energy. Our approach relies on the utilization of nonlinear Shkarofsky's formula of FPR (FPRS) collision operator in the spherical-polar coordinate. The key innovation lies in the introduction of a new function named King, with the adoption of the Legendre polynomial expansion for the angular coordinate and King function expansion for the speed coordinate. The Legendre polynomial expansion will converge exponentially and the King method, a moment convergence algorithm, could ensure the conservation with high precision in discrete form. Additionally, post-step projection onto manifolds is employed to exactly enforce symmetries of the collision operators. Through solving several typical problems across various nonequilibrium configurations, we demonstrate the high accuracy and superior performance of the presented algorithm for weakly anisotropic plasmas.
Causality plays an important role in understanding intelligent behavior, and there is a wealth of literature on mathematical models for causality, most of which is focused on causal graphs. Causal graphs are a powerful tool for a wide range of applications, in particular when the relevant variables are known and at the same level of abstraction. However, the given variables can also be unstructured data, like pixels of an image. Meanwhile, the causal variables, such as the positions of objects in the image, can be arbitrary deterministic functions of the given variables. Moreover, the causal variables may form a hierarchy of abstractions, in which the macro-level variables are deterministic functions of the micro-level variables. Causal graphs are limited when it comes to modeling this kind of situation. In the presence of deterministic relationships there is generally no causal graph that satisfies both the Markov condition and the faithfulness condition. We introduce factored space models as an alternative to causal graphs which naturally represent both probabilistic and deterministic relationships at all levels of abstraction. Moreover, we introduce structural independence and establish that it is equivalent to statistical independence in every distribution that factorizes over the factored space. This theorem generalizes the classical soundness and completeness theorem for d-separation.
In this article we are interested for the numerical computation of spectra of non-self adjoint quadratic operators, in two and three spatial dimensions. Indeed, in the multidimensional case very few results are known on the location of the eignevalues. This leads to solve nonlinear eigenvalue problems. In introduction we begin with a review of theoretical results and numerical results obtained for the one dimensional case. Then we present the numerical methods developed to compute the spectra (finite difference discretization) for the two and three dimensional cases. The numerical results obtained are presented and analyzed. One difficulty here is that we have to compute eigenvalues of strongly non-self-adjoint operators which are unstable. This work is in continuity of a previous work in one spatial dimension.
In this paper, we propose a machine learning (ML)-based moment closure model for the linearized Boltzmann equation of semiconductor devices, addressing both the deterministic and stochastic settings. Our approach leverages neural networks to learn the spatial gradient of the unclosed highest-order moment, enabling effective training through natural output normalization. For the deterministic problem, to ensure global hyperbolicity and stability, we derive and apply the constraints that enforce symmetrizable hyperbolicity of the system. For the stochastic problem, we adopt the generalized polynomial chaos (gPC)-based stochastic Galerkin method to discretize the random variables, resulting in a system for which the approach in the deterministic case can be used similarly. Several numerical experiments will be shown to demonstrate the effectiveness and accuracy of our ML-based moment closure model for the linear semiconductor Boltzmann equation with (or without) uncertainties.
Under a multinormal distribution with an arbitrary unknown covariance matrix, the main purpose of this paper is to propose a framework to achieve the goal of reconciliation of Bayesian, frequentist, and Fisher's reporting $p$-values, Neyman-Pearson's optimal theory and Wald's decision theory for the problems of testing mean against restricted alternatives (closed convex cones). To proceed, the tests constructed via the likelihood ratio (LR) and the union-intersection (UI) principles are studied. For the problems of testing against restricted alternatives, first, we show that the LRT and the UIT are not the proper Bayes tests, however, they are shown to be the integrated LRT and the integrated UIT, respectively. For the problem of testing against the positive orthant space alternative, both the null distributions of the LRT and the UIT depend on the unknown nuisance covariance matrix. Hence we have difficulty adopting Fisher's approach to reporting $p$-values. On the other hand, according to the definition of the level of significance, both the LRT and the UIT are shown to be power-dominated by the corresponding LRT and UIT for testing against the half-space alternative, respectively. Hence, both the LRT and the UIT are $\alpha$-inadmissible, these results are against the common statistical sense. Neither Fisher's approach of reporting $p$-values alone nor Neyman-Pearson's optimal theory for power function alone is a satisfactory criterion for evaluating the performance of tests. Wald's decision theory via $d$-admissibility may shed light on resolving these challenging issues of imposing the balance between type 1 error and power.
Combinatorial problems such as combinatorial optimization and constraint satisfaction problems arise in decision-making across various fields of science and technology. In real-world applications, when multiple optimal or constraint-satisfying solutions exist, enumerating all these solutions -- rather than finding just one -- is often desirable, as it provides flexibility in decision-making. However, combinatorial problems and their enumeration versions pose significant computational challenges due to combinatorial explosion. To address these challenges, we propose enumeration algorithms for combinatorial optimization and constraint satisfaction problems using Ising machines. Ising machines are specialized devices designed to efficiently solve combinatorial problems. Typically, they sample low-cost solutions in a stochastic manner. Our enumeration algorithms repeatedly sample solutions to collect all desirable solutions. The crux of the proposed algorithms is their stopping criteria for sampling, which are derived based on probability theory. In particular, the proposed algorithms have theoretical guarantees that the failure probability of enumeration is bounded above by a user-specified value, provided that lower-cost solutions are sampled more frequently and equal-cost solutions are sampled with equal probability. Many physics-based Ising machines are expected to (approximately) satisfy these conditions. As a demonstration, we applied our algorithm using simulated annealing to maximum clique enumeration on random graphs. We found that our algorithm enumerates all maximum cliques in large dense graphs faster than a conventional branch-and-bound algorithm specially designed for maximum clique enumeration. This demonstrates the promising potential of our proposed approach.
We present and analyze a discontinuous Galerkin method for the numerical modeling of a Kelvin-Voigt thermo/poro-viscoelastic problem. We present the derivation of the model, and we develop a stability analysis in the continuous setting that holds both for the full inertial and quasi-static problems and that is robust with respect to most of the physical parameters of the problem. For spatial discretization, we propose an arbitrary-order weighted symmetric interior penalty scheme that supports general polytopal grids and is robust with respect to strong heterogeneities in the model coefficients. For the semi-discrete problem, we prove the extension of the stability result demonstrated in the continuous setting. A wide set of numerical simulations is presented to assess the convergence and robustness properties of the proposed method. Moreover, we test the scheme with literature and physically sound test cases for proof-of-concept applications in the geophysical context.
In this paper, in order to improve the spatial accuracy, the exponential integrator Fourier Galerkin method (EIFG) is proposed for solving semilinear parabolic equations in rectangular domains. In this proposed method, the spatial discretization is first carried out by the Fourier-based Galerkin approximation, and then the time integration of the resulting semi-discrete system is approximated by the explicit exponential Runge-Kutta approach, which leads to the fully-discrete numerical solution. With certain regularity assumptions on the model problem, error estimate measured in $H^2$-norm is explicitly derived for EIFG method with two RK stages. Several two and three dimensional examples are shown to demonstrate the excellent performance of EIFG method, which are coincident to the theoretical results.
In this paper we introduce a multilevel Picard approximation algorithm for general semilinear parabolic PDEs with gradient-dependent nonlinearities whose coefficient functions do not need to be constant. We also provide a full convergence and complexity analysis of our algorithm. To obtain our main results, we consider a particular stochastic fixed-point equation (SFPE) motivated by the Feynman-Kac representation and the Bismut-Elworthy-Li formula. We show that the PDE under consideration has a unique viscosity solution which coincides with the first component of the unique solution of the stochastic fixed-point equation. Moreover, the gradient of the unique viscosity solution of the PDE exists and coincides with the second component of the unique solution of the stochastic fixed-point equation. Furthermore, we also provide a numerical example in up to $300$ dimensions to demonstrate the practical applicability of our multilevel Picard algorithm.
This paper presents both a priori and a posteriori error analyses for a really pressure-robust virtual element method to approximate the incompressible Brinkman problem. We construct a divergence-preserving reconstruction operator using the Raviart-Thomas element for the discretization on the right-hand side. The optimal priori error estimates are carried out, which imply the velocity error in the energy norm is independent of both the continuous pressure and the viscosity. Taking advantage of the virtual element method's ability to handle more general polygonal meshes, we implement effective mesh refinement strategies and develop a residual-type a posteriori error estimator. This estimator is proven to provide global upper and local lower bounds for the discretization error. Finally, some numerical experiments demonstrate the robustness, accuracy, reliability and efficiency of the method.