Hybrid PDE solver for data-driven problems and modern branching

The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations about the parallelization and scalability of realistic problems are often critical enough to warrant acknowledgement in the modelling phase. The purpose of this paper is to spread awareness of the Probabilistic Domain Decomposition (PDD) method, a fresh approach to the parallelization of PDEs with excellent scalability properties. The idea exploits the stochastic representation of the PDE and its approximation via Monte Carlo in combination with deterministic high-performance PDE solvers. We describe the ingredients of PDD and its applicability in the scope of data science. In particular, we highlight recent advances in stochastic representations for nonlinear PDEs using branching diffusions, which have significantly broadened the scope of PDD. We envision this work as a dictionary giving large-scale PDE practitioners references on the very latest algorithms and techniques of a non-standard, yet highly parallelizable, methodology at the interface of deterministic and probabilistic numerical methods. We close this work with an invitation to the fully nonlinear case and open research questions.Comment: 23 pages, 7 figures; Final SMUR version; To appear in the European Journal of Applied Mathematics (EJAM

Jarzynski's equality, fluctuation theorems, and variance reduction: Mathematical analysis and numerical algorithms

In this paper, we study Jarzynski's equality and fluctuation theorems for diffusion processes. While some of the results considered in the current work are known in the (mainly physics) literature, we review and generalize these nonequilibrium theorems using mathematical arguments, therefore enabling further investigations in the mathematical community. On the numerical side, variance reduction approaches such as importance sampling method are studied in order to compute free energy differences based on Jarzynski's equality.Comment: journal versio

Reconstruction of thermally-symmetrized quantum autocorrelation functions from imaginary-time data

In this paper, I propose a technique for recovering quantum dynamical information from imaginary-time data via the resolution of a one-dimensional Hamburger moment problem. It is shown that the quantum autocorrelation functions are uniquely determined by and can be reconstructed from their sequence of derivatives at origin. A general class of reconstruction algorithms is then identified, according to Theorem 3. The technique is advocated as especially effective for a certain class of quantum problems in continuum space, for which only a few moments are necessary. For such problems, it is argued that the derivatives at origin can be evaluated by Monte Carlo simulations via estimators of finite variances in the limit of an infinite number of path variables. Finally, a maximum entropy inversion algorithm for the Hamburger moment problem is utilized to compute the quantum rate of reaction for a one-dimensional symmetric Eckart barrier.Comment: 15 pages, no figures, to appear in Phys. Rev.