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We consider the problem of sequentially optimizing a time-varying objective function using time-varying Bayesian optimization (TVBO). Here, the key challenge is the exploration-exploitation trade-off under time variations. Current approaches to TVBO require prior knowledge of a constant rate of change. However, in practice, the rate of change is usually unknown. We propose an event-triggered algorithm, ET-GP-UCB, that treats the optimization problem as static until it detects changes in the objective function online and then resets the dataset. This allows the algorithm to adapt to realized temporal changes without the need for prior knowledge. The event-trigger is based on probabilistic uniform error bounds used in Gaussian process regression. We provide regret bounds for ET-GP-UCB and show in numerical experiments that it outperforms state-of-the-art algorithms on synthetic and real-world data. Furthermore, these results demonstrate that ET-GP-UCB is readily applicable to various settings without tuning hyperparameters.

Non-asymptotic convergence analysis of quasi-Newton methods has gained attention with a landmark result establishing an explicit superlinear rate of O$((1/\sqrt{t})^t)$. The methods that obtain this rate, however, exhibit a well-known drawback: they require the storage of the previous Hessian approximation matrix or instead storing all past curvature information to form the current Hessian inverse approximation. Limited-memory variants of quasi-Newton methods such as the celebrated L-BFGS alleviate this issue by leveraging a limited window of past curvature information to construct the Hessian inverse approximation. As a result, their per iteration complexity and storage requirement is O$(\tau d)$ where $\tau \le d$ is the size of the window and $d$ is the problem dimension reducing the O$(d^2)$ computational cost and memory requirement of standard quasi-Newton methods. However, to the best of our knowledge, there is no result showing a non-asymptotic superlinear convergence rate for any limited-memory quasi-Newton method. In this work, we close this gap by presenting a limited-memory greedy BFGS (LG-BFGS) method that achieves an explicit non-asymptotic superlinear rate. We incorporate displacement aggregation, i.e., decorrelating projection, in post-processing gradient variations, together with a basis vector selection scheme on variable variations, which greedily maximizes a progress measure of the Hessian estimate to the true Hessian. Their combination allows past curvature information to remain in a sparse subspace while yielding a valid representation of the full history. Interestingly, our established non-asymptotic superlinear convergence rate demonstrates a trade-off between the convergence speed and memory requirement, which to our knowledge, is the first of its kind. Numerical results corroborate our theoretical findings and demonstrate the effectiveness of our method.

The hierarchical prior used in Latent Gaussian models (LGMs) induces a posterior geometry prone to frustrate inference algorithms. Marginalizing out the latent Gaussian variable using an integrated Laplace approximation removes the offending geometry, allowing us to do efficient inference on the hyperparameters. To use gradient-based inference we need to compute the approximate marginal likelihood and its gradient. The adjoint-differentiated Laplace approximation differentiates the marginal likelihood and scales well with the dimension of the hyperparameters. While this method can be applied to LGMs with any prior covariance, it only works for likelihoods with a diagonal Hessian. Furthermore, the algorithm requires methods which compute the first three derivatives of the likelihood with current implementations relying on analytical derivatives. I propose a generalization which is applicable to a broader class of likelihoods and does not require analytical derivatives of the likelihood. Numerical experiments suggest the added flexibility comes at no computational cost: on a standard LGM, the new method is in fact slightly faster than the existing adjoint-differentiated Laplace approximation. I also apply the general method to an LGM with an unconventional likelihood. This example highlights the algorithm's potential, as well as persistent challenges.

We propose a numerical method for the Vlasov-Poisson-Fokker-Planck model written as an hyperbolic system thanks to a spectral decomposition in the basis of Hermite functions with respect to the velocity variable and a structure preserving finite volume scheme for the space variable. On the one hand, we show that this scheme naturally preserves both stationary solutions and linearized free-energy estimate. On the other hand, we adapt previous arguments based on hypocoercivity methods to get quantitative estimates ensuring the exponential relaxation to equilibrium of the discrete solution for the linearized Vlasov-Poisson-Fokker-Planck system, uniformly with respect to both scaling and discretization parameters. Finally, we perform substantial numerical simulations for the nonlinear system to illustrate the efficiency of this approach for a large variety of collisional regimes (plasma echos for weakly collisional regimes and trend to equilibrium for collisional plasmas) and to highlight its robustness (unconditional stability, asymptotic preserving properties).

Tensor train decomposition is widely used in machine learning and quantum physics due to its concise representation of high-dimensional tensors, overcoming the curse of dimensionality. Cross approximation-originally developed for representing a matrix from a set of selected rows and columns-is an efficient method for constructing a tensor train decomposition of a tensor from few of its entries. While tensor train cross approximation has achieved remarkable performance in practical applications, its theoretical analysis, in particular regarding the error of the approximation, is so far lacking. To our knowledge, existing results only provide element-wise approximation accuracy guarantees, which lead to a very loose bound when extended to the entire tensor. In this paper, we bridge this gap by providing accuracy guarantees in terms of the entire tensor for both exact and noisy measurements. Our results illustrate how the choice of selected subtensors affects the quality of the cross approximation and that the approximation error caused by model error and/or measurement error may not grow exponentially with the order of the tensor. These results are verified by numerical experiments, and may have important implications for the usefulness of cross approximations for high-order tensors, such as those encountered in the description of quantum many-body states.

This paper proposes and analyzes a novel fully discrete finite element scheme with the interpolation operator for stochastic Cahn-Hilliard equations with functional-type noise. The nonlinear term satisfies a one-side Lipschitz condition and the diffusion term is globally Lipschitz continuous. The novelties of this paper are threefold. First, the $L^2$-stability ($L^\infty$ in time) and the discrete $H^2$-stability ($L^2$ in time) are proved for the proposed scheme. The idea is to utilize the special structure of the matrix assembled by the nonlinear term. None of these stability results has been proved for the fully implicit scheme in existing literature due to the difficulty arising from the interaction of the nonlinearity and the multiplicative noise. Second, the higher moment stability in $L^2$-norm of the discrete solution is established based on the previous stability results. Third, the H\"older continuity in time for the strong solution is established under the minimum assumption of the strong solution. Based on these, the discrete $H^{-1}$-norm of the strong convergence is discussed. Several numerical experiments including stability and convergence are also presented to validate our theoretical results.

In this article we propose two finite element schemes for the Navier-Stokes equations, based on a reformulation that involves differential operators from the de Rham sequence and an advection operator with explicit skew-symmetry in weak form. Our first scheme is obtained by discretizing this formulation with conforming FEEC (Finite Element Exterior Calculus) spaces: it preserves the pointwise divergence free constraint of the velocity, its total momentum and its energy, in addition to being pressure robust. Following the broken-FEEC approach, our second scheme uses fully discontinuous spaces and local conforming projections to define the discrete differential operators. It preserves the same invariants up to a dissipation of energy to stabilize numerical discontinuities. For both schemes we use a middle point time discretization which preserve these invariants at the fully discrete level and we analyse its well-posedness in terms of a CFL condition. Numerical test cases performed with spline finite elements allow us to verify the high order accuracy of the resulting numerical methods, as well as their ability to handle general boundary conditions.

We present a novel framework for learning cost-efficient latent representations in problems with high-dimensional state spaces through nonlinear dimension reduction. By enriching linear state approximations with low-order polynomial terms we account for key nonlinear interactions existing in the data thereby reducing the problem's intrinsic dimensionality. Two methods are introduced for learning the representation of such low-dimensional, polynomial manifolds for embedding the data. The manifold parametrization coefficients can be obtained by regression via either a proper orthogonal decomposition or an alternating minimization based approach. Our numerical results focus on the one-dimensional Korteweg-de Vries equation where accounting for nonlinear correlations in the data was found to lower the representation error by up to two orders of magnitude compared to linear dimension reduction techniques.

We focus on analyzing the classical stochastic projected gradient methods under a general dependent data sampling scheme for constrained smooth nonconvex optimization. We show the worst-case rate of convergence $\tilde{O}(t^{-1/4})$ and complexity $\tilde{O}(\varepsilon^{-4})$ for achieving an $\varepsilon$-near stationary point in terms of the norm of the gradient of Moreau envelope and gradient mapping. While classical convergence guarantee requires i.i.d. data sampling from the target distribution, we only require a mild mixing condition of the conditional distribution, which holds for a wide class of Markov chain sampling algorithms. This improves the existing complexity for the constrained smooth nonconvex optimization with dependent data from $\tilde{O}(\varepsilon^{-8})$ to $\tilde{O}(\varepsilon^{-4})$ with a significantly simpler analysis. We illustrate the generality of our approach by deriving convergence results with dependent data for stochastic proximal gradient methods, adaptive stochastic gradient algorithm AdaGrad and stochastic gradient algorithm with heavy ball momentum. As an application, we obtain first online nonnegative matrix factorization algorithms for dependent data based on stochastic projected gradient methods with adaptive step sizes and optimal rate of convergence.

The equilibrium configuration of a plasma in an axially symmetric reactor is described mathematically by a free boundary problem associated with the celebrated Grad--Shafranov equation. The presence of uncertainty in the model parameters introduces the need to quantify the variability in the predictions. This is often done by computing a large number of model solutions on a computational grid for an ensemble of parameter values and then obtaining estimates for the statistical properties of solutions. In this study, we explore the savings that can be obtained using multilevel Monte Carlo methods, which reduce costs by performing the bulk of the computations on a sequence of spatial grids that are coarser than the one that would typically be used for a simple Monte Carlo simulation. We examine this approach using both a set of uniformly refined grids and a set of adaptively refined grids guided by a discrete error estimator. Numerical experiments show that multilevel methods dramatically reduce the cost of simulation, with cost reductions typically on the order of 60 or more and possibly as large as 200. Adaptive gridding results in more accurate computation of geometric quantities such as x-points associated with the model.