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The Sparse Identification of Nonlinear Dynamics (SINDy) algorithm can be applied to stochastic differential equations to estimate the drift and the diffusion function using data from a realization of the SDE. The SINDy algorithm requires sample data from each of these functions, which is typically estimated numerically from the data of the state. We analyze the performance of the previously proposed estimates for the drift and diffusion function to give bounds on the error for finite data. However, since this algorithm only converges as both the sampling frequency and the length of trajectory go to infinity, obtaining approximations within a certain tolerance may be infeasible. To combat this, we develop estimates with higher orders of accuracy for use in the SINDy framework. For a given sampling frequency, these estimates give more accurate approximations of the drift and diffusion functions, making SINDy a far more feasible system identification method.

In this paper, practically computable low-order approximations of potentially high-dimensional differential equations driven by geometric rough paths are proposed and investigated. In particular, equations are studied that cover the linear setting, but we allow for a certain type of dissipative nonlinearity in the drift as well. In a first step, a linear subspace is found that contains the solution space of the underlying rough differential equation (RDE). This subspace is associated to covariances of linear Ito-stochastic differential equations which is shown exploiting a Gronwall lemma for matrix differential equations. Orthogonal projections onto the identified subspace lead to a first exact reduced order system. Secondly, a linear map of the RDE solution (quantity of interest) is analyzed in terms of redundant information meaning that state variables are found that do not contribute to the quantity of interest. Once more, a link to Ito-stochastic differential equations is used. Removing such unnecessary information from the RDE provides a further dimension reduction without causing an error. Finally, we discretize a linear parabolic rough partial differential equation in space. The resulting large-order RDE is subsequently tackled with the exact reduction techniques studied in this paper. We illustrate the enormous complexity reduction potential in the corresponding numerical experiments.

We show that convex-concave Lipschitz stochastic saddle point problems (also known as stochastic minimax optimization) can be solved under the constraint of $(\epsilon,\delta)$-differential privacy with \emph{strong (primal-dual) gap} rate of $\tilde O\big(\frac{1}{\sqrt{n}} + \frac{\sqrt{d}}{n\epsilon}\big)$, where $n$ is the dataset size and $d$ is the dimension of the problem. This rate is nearly optimal, based on existing lower bounds in differentially private stochastic optimization. Specifically, we prove a tight upper bound on the strong gap via novel implementation and analysis of the recursive regularization technique repurposed for saddle point problems. We show that this rate can be attained with $O\big(\min\big\{\frac{n^2\epsilon^{1.5}}{\sqrt{d}}, n^{3/2}\big\}\big)$ gradient complexity, and $\tilde{O}(n)$ gradient complexity if the loss function is smooth. As a byproduct of our method, we develop a general algorithm that, given a black-box access to a subroutine satisfying a certain $\alpha$ primal-dual accuracy guarantee with respect to the empirical objective, gives a solution to the stochastic saddle point problem with a strong gap of $\tilde{O}(\alpha+\frac{1}{\sqrt{n}})$. We show that this $\alpha$-accuracy condition is satisfied by standard algorithms for the empirical saddle point problem such as the proximal point method and the stochastic gradient descent ascent algorithm. Further, we show that even for simple problems it is possible for an algorithm to have zero weak gap and suffer from $\Omega(1)$ strong gap. We also show that there exists a fundamental tradeoff between stability and accuracy. Specifically, we show that any $\Delta$-stable algorithm has empirical gap $\Omega\big(\frac{1}{\Delta n}\big)$, and that this bound is tight. This result also holds also more specifically for empirical risk minimization problems and may be of independent interest.

Models with intractable normalizing functions have numerous applications. Because the normalizing constants are functions of the parameters of interest, standard Markov chain Monte Carlo cannot be used for Bayesian inference for these models. A number of algorithms have been developed for such models. Some have the posterior distribution as their asymptotic distribution. Other ``asymptotically inexact'' algorithms do not possess this property. There is limited guidance for evaluating approximations based on these algorithms. Hence it is very hard to tune them. We propose two new diagnostics that address these problems for intractable normalizing function models. Our first diagnostic, inspired by the second Bartlett identity, is in principle broadly applicable to Monte Carlo approximations beyond the normalizing function problem. We develop an approximate version of this diagnostic that is applicable to intractable normalizing function problems. Our second diagnostic is a Monte Carlo approximation to a kernel Stein discrepancy-based diagnostic introduced by Gorham and Mackey (2017). We provide theoretical justification for our methods and apply them to several algorithms in challenging simulated and real data examples including an Ising model, an exponential random graph model, and a Conway--Maxwell--Poisson regression model, obtaining interesting insights about the algorithms in these contexts.

We study cut finite element discretizations of a Darcy interface problem based on the mixed finite element pairs $\textbf{RT}_0\times Q_0$, $\textbf{BDM}_1\times Q_0$, and $\textbf{RT}_1\times Q_1$. Here $Q_k$ is the space of discontinuous polynomial functions of degree k, $\textbf{RT}_{k}$ is the Raviart-Thomas space, and $\textbf{BDM}_k$ is the Brezzi-Douglas-Marini space. We show that the standard ghost penalty stabilization, often added in the weak forms of cut finite element methods for stability and control of the condition number of the resulting linear system matrix, destroys the divergence-free property of the considered element pairs. Therefore, we propose two corrections to the standard stabilization strategy: using macro-elements and new stabilization terms for the pressure. By decomposing the computational mesh into macro-elements and applying ghost penalty terms only on interior edges of macro-elements, stabilization is active only where needed. By modifying the standard stabilization terms for the pressure we recover the optimal approximation of the divergence without losing control of the condition number of the linear system matrix. We derive a priori error estimates for the proposed unfitted finite element discretization based on $\textbf{RT}_k\times Q_k$, $k\geq 0$. Numerical experiments indicate that with the new method we have 1) optimal rates of convergence of the approximate velocity and pressure; 2) well-posed linear systems where the condition number of the system matrix scales as it does for fitted finite element discretizations; 3) optimal rates of convergence of the approximate divergence with pointwise divergence-free approximations of solenoidal velocity fields. All three properties hold independently of how the interface is positioned relative to the computational mesh.

This article shows how to develop an efficient solver for a stabilized numerical space-time formulation of the advection-dominated diffusion transient equation. At the discrete space-time level, we approximate the solution by using higher-order continuous B-spline basis functions in its spatial and temporal dimensions. This problem is very difficult to solve numerically using the standard Galerkin finite element method due to artificial oscillations present when the advection term dominates the diffusion term. However, a first-order constraint least-square formulation allows us to obtain numerical solutions avoiding oscillations. The advantages of space-time formulations are the use of high-order methods and the feasibility of developing space-time mesh adaptive techniques on well-defined discrete problems. We develop a solver for a least-square formulation to obtain a stabilized and symmetric problem on finite element meshes. The computational cost of our solver is bounded by the cost of the inversion of the space-time mass and stiffness (with one value fixed at a point) matrices and the cost of the GMRES solver applied for the symmetric and positive definite problem. We illustrate our findings on an advection-dominated diffusion space-time model problem and present two numerical examples: one with isogeometric analysis discretizations and the second one with an adaptive space-time finite element method.

Many applications rely on solving time-dependent partial differential equations (PDEs) that include second derivatives. Summation-by-parts (SBP) operators are crucial for developing stable, high-order accurate numerical methodologies for such problems. Conventionally, SBP operators are tailored to the assumption that polynomials accurately approximate the solution, and SBP operators should thus be exact for them. However, this assumption falls short for a range of problems for which other approximation spaces are better suited. We recently addressed this issue and developed a theory for first-derivative SBP operators based on general function spaces, coined function-space SBP (FSBP) operators. In this paper, we extend the innovation of FSBP operators to accommodate second derivatives. The developed second-derivative FSBP operators maintain the desired mimetic properties of existing polynomial SBP operators while allowing for greater flexibility by being applicable to a broader range of function spaces. We establish the existence of these operators and detail a straightforward methodology for constructing them. By exploring various function spaces, including trigonometric, exponential, and radial basis functions, we illustrate the versatility of our approach. We showcase the superior performance of these non-polynomial FSBP operators over traditional polynomial-based operators for a suite of one- and two-dimensional problems, encompassing a boundary layer problem and the viscous Burgers' equation. The work presented here opens up possibilities for using second-derivative SBP operators based on suitable function spaces, paving the way for a wide range of applications in the future.

This paper is interested in developing reduced order models (ROMs) for repeated simulation of fractional elliptic partial differential equations (PDEs) for multiple values of the parameters (e.g., diffusion coefficients or fractional exponent) governing these models. These problems arise in many applications including simulating Gaussian processes, and geophysical electromagnetics. The approach uses the Kato integral formula to express the solution as an integral involving the solution of a parametrized elliptic PDE, which is discretized using finite elements in space and sinc quadrature for the fractional part. The offline stage of the ROM is accelerated using a solver for shifted linear systems, MPGMRES-Sh, and using a randomized approach for compressing the snapshot matrix. Our approach is both computational and memory efficient. Numerical experiments on a range of model problems, including an application to Gaussian processes, show the benefits of our approach.

In this paper, we are concerned with efficiently solving the sequences of regularized linear least squares problems associated with employing Tikhonov-type regularization with regularization operators designed to enforce edge recovery. An optimal regularization parameter, which balances the fidelity to the data with the edge-enforcing constraint term, is typically not known a priori. This adds to the total number of regularized linear least squares problems that must be solved before the final image can be recovered. Therefore, in this paper, we determine effective multigrid preconditioners for these sequences of systems. We focus our approach on the sequences that arise as a result of the edge-preserving method introduced in [6], where we can exploit an interpretation of the regularization term as a diffusion operator; however, our methods are also applicable in other edge-preserving settings, such as iteratively reweighted least squares problems. Particular attention is paid to the selection of components of the multigrid preconditioner in order to achieve robustness for different ranges of the regularization parameter value. In addition, we present a parameter culling approach that, when used with the L-curve heuristic, reduces the total number of solves required. We demonstrate our preconditioning and parameter culling routines on examples in computed tomography and image deblurring.

We consider the singularly perturbed fourth-order boundary value problem $\varepsilon ^{2}\Delta ^{2}u-\Delta u=f $ on the unit square $\Omega \subset \mathbb{R}^2$, with boundary conditions $u = \partial u / \partial n = 0$ on $\partial \Omega$, where $\varepsilon \in (0, 1)$ is a small parameter. The problem is solved numerically by means of a weak Galerkin(WG) finite element method, which is highly robust and flexible in the element construction by using discontinuous piecewise polynomials on finite element partitions consisting of polygons of arbitrary shape. The resulting WG finite element formulation is symmetric, positive definite, and parameter-free. Under reasonable assumptions on the structure of the boundary layers that appear in the solution, a family of suitable Shishkin meshes with $N^2$ elements is constructed ,convergence of the method is proved in a discrete $H^2$ norm for the corresponding WG finite element solutions and numerical results are presented.