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Nonsmooth composite optimization with orthogonality constraints has a broad spectrum of applications in statistical learning and data science. However, this problem is generally challenging to solve due to its non-convex and non-smooth nature. Existing solutions are limited by one or more of the following restrictions: (i) they are full gradient methods that require high computational costs in each iteration; (ii) they are not capable of solving general nonsmooth composite problems; (iii) they are infeasible methods and can only achieve the feasibility of the solution at the limit point; (iv) they lack rigorous convergence guarantees; (v) they only obtain weak optimality of critical points. In this paper, we propose \textit{\textbf{OBCD}}, a new Block Coordinate Descent method for solving general nonsmooth composite problems under Orthogonality constraints. \textit{\textbf{OBCD}} is a feasible method with low computation complexity footprints. In each iteration, our algorithm updates $k$ rows of the solution matrix ($k\geq2$ is a parameter) to preserve the constraints. Then, it solves a small-sized nonsmooth composite optimization problem under orthogonality constraints either exactly or approximately. We demonstrate that any exact block-$k$ stationary point is always an approximate block-$k$ stationary point, which is equivalent to the critical stationary point. We are particularly interested in the case where $k=2$ as the resulting subproblem reduces to a one-dimensional nonconvex problem. We propose a breakpoint searching method and a fifth-order iterative method to solve this problem efficiently and effectively. We also propose two novel greedy strategies to find a good working set to further accelerate the convergence of \textit{\textbf{OBCD}}. Finally, we have conducted extensive experiments on several tasks to demonstrate the superiority of our approach.

Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping problems and gene expression. Most BSDEs cannot be solved analytically and thus numerical methods must be applied to approximate their solutions. There have been a variety of numerical methods proposed over the past few decades as well as many more currently being developed. For the most part, they exist in a complex and scattered manner with each requiring a variety of assumptions and conditions. The aim of the present work is thus to systematically survey various numerical methods for BSDEs, and in particular, compare and categorize them, for further developments and improvements. To achieve this goal, we focus primarily on the core features of each method based on an extensive collection of 333 references: the main assumptions, the numerical algorithm itself, key convergence properties and advantages and disadvantages, to provide an up-to-date coverage of numerical methods for BSDEs, with insightful summaries of each and a useful comparison and categorization.

Tumble dryers offer a fast and convenient way of drying textiles independent of weather conditions and therefore are frequently used in ordinary households. However, artificial drying of textiles consumes considerable amounts of energy, approximately 8.2 percent of the residential electricity consumption is for drying of textiles in northern European countries (Cranston et al., 2019). Several authors have investigated the aspects of the clothes drying cycle with experimental and numerical methods to understand and improve the process. The first turning point study on understanding the physics of evaporation for tumble dryers was presented by Lambert et al. (1991) in the early 90s. With the aid of Chilton_Colburn analogy, they introduced the concept of area-mass transfer coefficient to address evaporation rate. Afterwards, several experimental or numerical studies were published based on this concept, and furthermore, the model was then developed into 0-dimensional (Deans, 2001) and 1-dimensional (Wei et al., 2017) to gain more accuracy. The evaporation rate is considered to be the main system parameter for dryers with which other performance parameters including drying time, effectiveness, moisture content and efficiency can be estimated. More recent literature focused on utilizing dimensional analysis or image processing techniques to correlate drying indices with system parameters. However, the validity of these regressed models is machine-specific, and hence, cannot be generalized yet. All the previous models for estimating the evaporation rate in tumble dryers are discussed. The review of the related literature showed that all of the previous models for the prediction of the evaporation rate in the clothes dryers have some limitations in terms of accuracy and applicability.

We consider the problem of rank-$1$ low-rank approximation (LRA) in the matrix-vector product model under various Schatten norms: $$ \min_{\|u\|_2=1} \|A (I - u u^\top)\|_{\mathcal{S}_p} , $$ where $\|M\|_{\mathcal{S}_p}$ denotes the $\ell_p$ norm of the singular values of $M$. Given $\varepsilon>0$, our goal is to output a unit vector $v$ such that $$ \|A(I - vv^\top)\|_{\mathcal{S}_p} \leq (1+\varepsilon) \min_{\|u\|_2=1}\|A(I - u u^\top)\|_{\mathcal{S}_p}. $$ Our main result shows that Krylov methods (nearly) achieve the information-theoretically optimal number of matrix-vector products for Spectral ($p=\infty$), Frobenius ($p=2$) and Nuclear ($p=1$) LRA. In particular, for Spectral LRA, we show that any algorithm requires $\Omega\left(\log(n)/\varepsilon^{1/2}\right)$ matrix-vector products, exactly matching the upper bound obtained by Krylov methods [MM15, BCW22]. Our lower bound addresses Open Question 1 in [Woo14], providing evidence for the lack of progress on algorithms for Spectral LRA and resolves Open Question 1.2 in [BCW22]. Next, we show that for any fixed constant $p$, i.e. $1\leq p =O(1)$, there is an upper bound of $O\left(\log(1/\varepsilon)/\varepsilon^{1/3}\right)$ matrix-vector products, implying that the complexity does not grow as a function of input size. This improves the $O\left(\log(n/\varepsilon)/\varepsilon^{1/3}\right)$ bound recently obtained in [BCW22], and matches their $\Omega\left(1/\varepsilon^{1/3}\right)$ lower bound, to a $\log(1/\varepsilon)$ factor.

We propose algorithms for efficient time integration of large systems of oscillatory second order ordinary differential equations (ODEs) whose solution can be expressed in terms of trigonometric matrix functions. Our algorithms are based on a residual notion for second order ODEs, which allows to extend the ``residual-time restarting'' Krylov subspace framework -- which was recently introduced for exponential and $\varphi$-functions occurring in time integration of first order ODEs -- to our setting. We then show that the computational cost can be further reduced in many cases by using our restarting in the Gautschi cosine scheme. We analyze residual convergence in terms of Faber and Chebyshev series and supplement these theoretical results by numerical experiments illustrating the efficiency of the proposed methods.

We study the computational scalability of a Gaussian process (GP) framework for solving general nonlinear partial differential equations (PDEs). This framework transforms solving PDEs to solving quadratic optimization problem with nonlinear constraints. Its complexity bottleneck lies in computing with dense kernel matrices obtained from pointwise evaluations of the covariance kernel of the GP and its partial derivatives at collocation points. We present a sparse Cholesky factorization algorithm for such kernel matrices based on the near-sparsity of the Cholesky factor under a new ordering of Diracs and derivative measurements. We rigorously identify the sparsity pattern and quantify the exponentially convergent accuracy of the corresponding Vecchia approximation of the GP, which is optimal in the Kullback-Leibler divergence. This enables us to compute $\epsilon$-approximate inverse Cholesky factors of the kernel matrices with complexity $O(N\log^d(N/\epsilon))$ in space and $O(N\log^{2d}(N/\epsilon))$ in time. With the sparse factors, gradient-based optimization methods become scalable. Furthermore, we can use the oftentimes more efficient Gauss-Newton method, for which we apply the conjugate gradient algorithm with the sparse factor of a reduced kernel matrix as a preconditioner to solve the linear system. We numerically illustrate our algorithm's near-linear space/time complexity for a broad class of nonlinear PDEs such as the nonlinear elliptic, Burgers, and Monge-Amp\`ere equations. In summary, we provide a fast, scalable, and accurate method for solving general PDEs with GPs.

We design nearly-linear time numerical algorithms for the problem of multivariate multipoint evaluation over the fields of rational, real and complex numbers. We consider both \emph{exact} and \emph{approximate} versions of the algorithm. The input to the algorithms are (1) coefficients of an $m$-variate polynomial $f$ with degree $d$ in each variable, and (2) points $a_1,..., a_N$ each of whose coordinate has value bounded by one and bit-complexity $s$. * Approximate version: Given additionally an accuracy parameter $t$, the algorithm computes rational numbers $\beta_1,\ldots, \beta_N$ such that $|f(a_i) - \beta_i| \leq \frac{1}{2^t}$ for all $i$, and has a running time of $((Nm + d^m)(s + t))^{1 + o(1)}$ for all $m$ and all sufficiently large $d$. * Exact version (when over rationals): Given additionally a bound $c$ on the bit-complexity of all evaluations, the algorithm computes the rational numbers $f(a_1), ... , f(a_N)$, in time $((Nm + d^m)(s + c))^{1 + o(1)}$ for all $m$ and all sufficiently large $d$. . Prior to this work, a nearly-linear time algorithm for multivariate multipoint evaluation (exact or approximate) over any infinite field appears to be known only for the case of univariate polynomials, and was discovered in a recent work of Moroz (FOCS 2021). In this work, we extend this result from the univariate to the multivariate setting. However, our algorithm is based on ideas that seem to be conceptually different from those of Moroz (FOCS 2021) and crucially relies on a recent algorithm of Bhargava, Ghosh, Guo, Kumar & Umans (FOCS 2022) for multivariate multipoint evaluation over finite fields, and known efficient algorithms for the problems of rational number reconstruction and fast Chinese remaindering in computational number theory.

Linear partial differential equations (PDEs) are an important, widely applied class of mechanistic models, describing physical processes such as heat transfer, electromagnetism, and wave propagation. In practice, specialized numerical methods based on discretization are used to solve PDEs. They generally use an estimate of the unknown model parameters and, if available, physical measurements for initialization. Such solvers are often embedded into larger scientific models with a downstream application and thus error quantification plays a key role. However, by ignoring parameter and measurement uncertainty, classical PDE solvers may fail to produce consistent estimates of their inherent approximation error. In this work, we approach this problem in a principled fashion by interpreting solving linear PDEs as physics-informed Gaussian process (GP) regression. Our framework is based on a key generalization of the Gaussian process inference theorem to observations made via an arbitrary bounded linear operator. Crucially, this probabilistic viewpoint allows to (1) quantify the inherent discretization error; (2) propagate uncertainty about the model parameters to the solution; and (3) condition on noisy measurements. Demonstrating the strength of this formulation, we prove that it strictly generalizes methods of weighted residuals, a central class of PDE solvers including collocation, finite volume, pseudospectral, and (generalized) Galerkin methods such as finite element and spectral methods. This class can thus be directly equipped with a structured error estimate. In summary, our results enable the seamless integration of mechanistic models as modular building blocks into probabilistic models by blurring the boundaries between numerical analysis and Bayesian inference.

Building models and methods for complex data is an important task for many scientific and application areas. Many modern datasets exhibit dependencies among observations as well as variables. This gives rise to the challenging problem of analyzing high-dimensional matrix-variate data with unknown dependence structures. To address this challenge, Kalaitzis et. al. (2013) proposed the Bigraphical Lasso (BiGLasso), an estimator for precision matrices of matrix-normals based on the Cartesian product of graphs. Subsequently, Greenewald, Zhou and Hero (GZH 2019) introduced a multiway tensor generalization of the BiGLasso estimator, known as the TeraLasso estimator. In this paper, we provide sharp rates of convergence in the Frobenius and operator norm for both BiGLasso and TeraLasso estimators for estimating inverse covariance matrices. This improves upon the rates presented in GZH 2019. In particular, (a) we strengthen the bounds for the relative errors in the operator and Frobenius norm by a factor of approximately $\log p$; (b) Crucially, this improvement allows for finite-sample estimation errors in both norms to be derived for the two-way Kronecker sum model. This closes the gap between the low single-sample error for the two-way model empirically observed in GZH 2019 and the theoretical bounds therein. The two-way regime is particularly significant since it is the setting of common and generic applications in practice. Normality is not needed in our proofs; instead, we consider subgaussian ensembles and derive tight concentration of measure bounds, using tensor unfolding techniques. The proof techniques may be of independent interest to the analysis of tensor-valued data.

Using the equivalent inclusion method (a method strongly related to the Hashin-Shtrikman variational principle) as a surrogate model, we propose a variance reduction strategy for the numerical homogenization of random composites made of inclusions (or rather inhomogeneities) embedded in a homogeneous matrix. The efficiency of this strategy is demonstrated within the framework of two-dimensional, linear conductivity. Significant computational gains vs full-field simulations are obtained even for high contrast values. We also show that our strategy allows to investigate the influence of parameters of the microstructure on the macroscopic response. Our strategy readily extends to three-dimensional problems and to linear elasticity. Attention is paid to the computational cost of the surrogate model. In particular, an inexpensive approximation of the so-called influence tensors (that are used to compute the surrogate model) is proposed.