Finite element approximation of high-dimensional transport-dominated diffusion problems

High-dimensional partial differential equations with nonnegative characteristic form arise in numerous mathematical models in science. In problems of this kind, the computational challenge of beating the exponential growth of complexity as a function of dimension is exacerbated by the fact that the problem may be transport-dominated. We develop the analysis of stabilised sparse finite element methods for such high-dimensional, non-self-adjoint and possibly degenerate partial differential equations.\ud \ud (Presented as an invited lecture under the title "Computational multiscale modelling: Fokker-Planck equations and their numerical analysis" at the Foundations of Computational Mathematics conference in Santander, Spain, 30 June - 9 July, 2005.

Convergence of the stochastic Euler scheme for locally Lipschitz coefficients

Stochastic differential equations are often simulated with the Monte Carlo Euler method. Convergence of this method is well understood in the case of globally Lipschitz continuous coefficients of the stochastic differential equation. The important case of superlinearly growing coefficients, however, has remained an open question. The main difficulty is that numerically weak convergence fails to hold in many cases of superlinearly growing coefficients. In this paper we overcome this difficulty and establish convergence of the Monte Carlo Euler method for a large class of one-dimensional stochastic differential equations whose drift functions have at most polynomial growth.Comment: Published at http://www.springerlink.com/content/g076w80730811vv3 in the Foundations of Computational Mathematics 201

Hodge Theory on Metric Spaces

Hodge theory is a beautiful synthesis of geometry, topology, and analysis, which has been developed in the setting of Riemannian manifolds. On the other hand, spaces of images, which are important in the mathematical foundations of vision and pattern recognition, do not fit this framework. This motivates us to develop a version of Hodge theory on metric spaces with a probability measure. We believe that this constitutes a step towards understanding the geometry of vision. The appendix by Anthony Baker provides a separable, compact metric space with infinite dimensional \alpha-scale homology.Comment: appendix by Anthony W. Baker, 48 pages, AMS-LaTeX. v2: final version, to appear in Foundations of Computational Mathematics. Minor changes and addition

Metrics for generalized persistence modules

We consider the question of defining interleaving metrics on generalized persistence modules over arbitrary preordered sets. Our constructions are functorial, which implies a form of stability for these metrics. We describe a large class of examples, inverse-image persistence modules, which occur whenever a topological space is mapped to a metric space. Several standard theories of persistence and their stability can be described in this framework. This includes the classical case of sublevelset persistent homology. We introduce a distinction between `soft' and `hard' stability theorems. While our treatment is direct and elementary, the approach can be explained abstractly in terms of monoidal functors.Comment: Final version; no changes from previous version. Published online Oct 2014 in Foundations of Computational Mathematics. Print version to appea

Upwinding in finite element systems of differential forms

We provide a notion of finite element system, that enables the construction spaces of differential forms, which can be used for the numerical solution of variationally posed partial difeerential equations. Within this framework, we introduce a form of upwinding, with the aim of stabilizing methods for the purposes of computational uid dynamics, in the vanishing viscosity regime. Published as the Smale Prize Lecture in: Foundations of computational mathematics, Budapest 2011, London Mathematical Society Lecture Note Series, 403, Cambridge University Press, 2013

The foundations of spectral computations via the Solvability Complexity Index hierarchy: Part I

The problem of computing spectra of operators is arguably one of the most investigated areas of computational mathematics. Recent progress and the current paper reveal that, unlike the finite-dimensional case, infinite-dimensional problems yield a highly intricate infinite classification theory determining which spectral problems can be solved and with which type of algorithms. Classifying spectral problems and providing optimal algorithms is uncharted territory in the foundations of computational mathematics. This paper is the first of a two-part series establishing the foundations of computational spectral theory through the Solvability Complexity Index (SCI) hierarchy and has three purposes. First, we establish answers to many longstanding open questions on the existence of algorithms. We show that for large classes of partial differential operators on unbounded domains, spectra can be computed with error control from point sampling operator coefficients. Further results include computing spectra of operators on graphs with error control, the spectral gap problem, spectral classifications, and discrete spectra, multiplicities and eigenspaces. Second, these classifications determine which types of problems can be used in computer-assisted proofs. The theory for this is virtually non-existent, and we provide some of the first results in this infinite classification theory. Third, our proofs are constructive, yielding a library of new algorithms and techniques that handle problems that before were out of reach. We show several examples on contemporary problems in the physical sciences. Our approach is closely related to Smale's program on the foundations of computational mathematics initiated in the 1980s, as many spectral problems can only be computed via several limits, a phenomenon shared with the foundations of polynomial root finding with rational maps, as proved by McMullen