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Conditional simulation is a fundamental task in statistical modeling: Generate samples from the conditionals given finitely many data points from a joint distribution. One promising approach is to construct conditional Brenier maps, where the components of the map pushforward a reference distribution to conditionals of the target. While many estimators exist, few, if any, come with statistical or algorithmic guarantees. To this end, we propose a non-parametric estimator for conditional Brenier maps based on the computational scalability of \emph{entropic} optimal transport. Our estimator leverages a result of Carlier et al. (2010), which shows that optimal transport maps under a rescaled quadratic cost asymptotically converge to conditional Brenier maps; our estimator is precisely the entropic analogues of these converging maps. We provide heuristic justifications for choosing the scaling parameter in the cost as a function of the number of samples by fully characterizing the Gaussian setting. We conclude by comparing the performance of the estimator to other machine learning and non-parametric approaches on benchmark datasets and Bayesian inference problems.

We consider the setting of multiscale overdamped Langevin stochastic differential equations, and study the problem of learning the drift function of the homogenized dynamics from continuous-time observations of the multiscale system. We decompose the drift term in a truncated series of basis functions, and employ the stochastic gradient descent in continuous time to infer the coefficients of the expansion. Due to the incompatibility between the multiscale data and the homogenized model, the estimator alone is not able to reconstruct the exact drift. We therefore propose to filter the original trajectory through appropriate kernels and include filtered data in the stochastic differential equation for the estimator, which indeed solves the misspecification issue. Several numerical experiments highlight the accuracy of our approach. Moreover, we show theoretically in a simplified framework the asymptotic unbiasedness of our estimator in the limit of infinite data and when the multiscale parameter describing the fastest scale vanishes.

The paper considers grad-div stabilized equal-order finite elements (FE) methods for the linearized Navier-Stokes equations. A block triangular preconditioner for the resulting system of algebraic equations is proposed which is closely related to the Augmented Lagrangian (AL) preconditioner. A field-of-values analysis of a preconditioned Krylov subspace method shows convergence bounds that are independent of the mesh parameter variation. Numerical studies support the theory and demonstrate the robustness of the approach also with respect to the viscosity parameter variation, as is typical for AL preconditioners when applied to inf-sup stable FE pairs. The numerical experiments also address the accuracy of grad-div stabilized equal-order FE method for the steady state Navier-Stokes equations.

In this paper we develop numerical analysis for finite element discretization of semilinear elliptic equations with potentially non-Lipschitz nonlinearites. The nonlinearity is essecially assumed to be continuous and monotonically decreasing including the case of non-Lipschitz or even non-H\"older continuous nonlinearities. For a direct discretization (without any regularization) with linear finite elements we derive error estimates with respect to various norms and illustrate these results with a numerical example.

We discuss nonparametric estimation of the trend coefficient in models governed by a stochastic differential equation driven by a multiplicative stochastic volatility.

We present a novel variational derivation of the Maxwell-GLM system, which augments the original vacuum Maxwell equations via a generalized Lagrangian multiplier approach (GLM) by adding two supplementary acoustic subsystems and which was originally introduced by Munz et al. for purely numerical purposes in order to treat the divergence constraints of the magnetic and the electric field in the vacuum Maxwell equations within general-purpose and non-structure-preserving numerical schemes for hyperbolic PDE. Among the many mathematically interesting features of the model are: i) its symmetric hyperbolicity, ii) the extra conservation law for the total energy density and, most importantly, iii) the very peculiar combination of the basic differential operators, since both, curl-curl and div-grad combinations are mixed within this kind of system. A similar mixture of Maxwell-type and acoustic-type subsystems has recently been also forwarded by Buchman et al. in the context of a reformulation of the Einstein field equations of general relativity in terms of tetrads. This motivates our interest in this class of PDE, since the system is by itself very interesting from a mathematical point of view and can therefore serve as useful prototype system for the development of new structure-preserving numerical methods. Up to now, to the best of our knowledge, there exists neither a rigorous variational derivation of this class of hyperbolic PDE systems, nor do exactly energy-conserving and asymptotic-preserving schemes exist for them. The objectives of this paper are to derive the Maxwell-GLM system from an underlying variational principle, show its consistency with Hamiltonian mechanics and special relativity, extend it to the general nonlinear case and to develop new exactly energy-conserving and asymptotic-preserving finite volume schemes for its discretization.

Stochastic gradient descent (SGD) is a workhorse algorithm for solving large-scale optimization problems in data science and machine learning. Understanding the convergence of SGD is hence of fundamental importance. In this work we examine the SGD convergence (with various step sizes) when applied to unconstrained convex quadratic programming (essentially least-squares (LS) problems), and in particular analyze the error components respect to the eigenvectors of the Hessian. The main message is that the convergence depends largely on the corresponding eigenvalues (singular values of the coefficient matrix in the LS context), namely the components for the large singular values converge faster in the initial phase. We then show there is a phase transition in the convergence where the convergence speed of the components, especially those corresponding to the larger singular values, will decrease. Finally, we show that the convergence of the overall error (in the solution) tends to decay as more iterations are run, that is, the initial convergence is faster than the asymptote.

This paper focuses on the numerical solution of elliptic partial differential equations (PDEs) with Dirichlet and mixed boundary conditions, specifically addressing the challenges arising from irregular domains. Both finite element method (FEM) and finite difference method (FDM), face difficulties in dealing with arbitrary domains. The paper introduces a novel nodal symmetric ghost {method based on a variational formulation}, which combines the advantages of FEM and FDM. The method employs bilinear finite elements on a structured mesh and provides a detailed implementation description. A rigorous a priori convergence rate analysis is also presented. The convergence rates are validated with many numerical experiments, in both one and two space dimensions.

We present a new $hp$-version space-time discontinuous Galerkin (dG) finite element method for the numerical approximation of parabolic evolution equations on general spatial meshes consisting of polygonal/polyhedral (polytopic) elements, giving rise to prismatic space-time elements. A key feature of the proposed method is the use of space-time elemental polynomial bases of \emph{total} degree, say $p$, defined in the physical coordinate system, as opposed to standard dG-time-stepping methods whereby spatial elemental bases are tensorized with temporal basis functions. This approach leads to a fully discrete $hp$-dG scheme using less degrees of freedom for each time step, compared to standard dG time-stepping schemes employing tensorized space-time, with acceptable deterioration of the approximation properties. A second key feature of the new space-time dG method is the incorporation of very general spatial meshes consisting of possibly polygonal/polyhedral elements with \emph{arbitrary} number of faces. A priori error bounds are shown for the proposed method in various norms. An extensive comparison among the new space-time dG method, the (standard) tensorized space-time dG methods, the classical dG-time-stepping, and conforming finite element method in space, is presented in a series of numerical experiments.