Pooling or sampling: Collective dynamics for electrical flow estimation

The computation of electrical flows is a crucial primitive for many recently proposed optimization algorithms on weighted networks. While typically implemented as a centralized subroutine, the ability to perform this task in a fully decentralized way is implicit in a number of biological systems. Thus, a natural question is whether this task can provably be accomplished in an efficient way by a network of agents executing a simple protocol. We provide a positive answer, proposing two distributed approaches to electrical flow computation on a weighted network: a deterministic process mimicking Jacobi's iterative method for solving linear systems, and a randomized token diffusion process, based on revisiting a classical random walk process on a graph with an absorbing node. We show that both processes converge to a solution of Kirchhoff's node potential equations, derive bounds on their convergence rates in terms of the weights of the network, and analyze their time and message complexity

Pooling or Sampling: Collective Dynamics for Electrical Flow Estimation

The computation of electrical flows is a crucial primitive for many recently proposed optimization algorithms on weighted networks. While typically implemented as a centralized subroutine, the ability to perform this task in a fully decentralized way is implicit in a number of biological systems. Thus, a natural question is whether this task can provably be accomplished in an efficient way by a network of agents executing a simple protocol. We provide a positive answer, proposing two distributed approaches to electrical flow computation on a weighted network: a deterministic process mimicking Jacobi's iterative method for solving linear systems, and a randomized token diffusion process, based on revisiting a classical random walk process on a graph with an absorbing node. We show that both processes converge to a solution of Kirchhoff's node potential equations, derive bounds on their convergence rates in terms of the weights of the network, and analyze their time and message complexity

A random map implementation of implicit filters

Implicit particle filters for data assimilation generate high-probability samples by representing each particle location as a separate function of a common reference variable. This representation requires that a certain underdetermined equation be solved for each particle and at each time an observation becomes available. We present a new implementation of implicit filters in which we find the solution of the equation via a random map. As examples, we assimilate data for a stochastically driven Lorenz system with sparse observations and for a stochastic Kuramoto-Sivashinski equation with observations that are sparse in both space and time

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independent compensated Poisson process. As in Dumitrescu-Labart (2014), we approximate the Brownian motion and the Poisson process by two random walks, but contrary to this paper, we discretize directly the DRBSDE, without using a penalization step. This gives us a fully implementable scheme, which only depends on one parameter of approximation: the number of time steps $n$ (contrary to the scheme proposed in Dumitrescu-Labart (2014), which also depends on the penalization parameter). We prove the convergence of the scheme, and give some numerical examples.Comment: arXiv admin note: text overlap with arXiv:1406.361

Stochastic fiber dynamics in a spatially semi-discrete setting

We investigate a spatially discrete surrogate model for the dynamics of a slender, elastic, inextensible fiber in turbulent flows. Deduced from a continuous space-time beam model for which no solution theory is available, it consists of a high-dimensional second order stochastic differential equation in time with a nonlinear algebraic constraint and an associated Lagrange multiplier term. We establish a suitable framework for the rigorous formulation and analysis of the semi-discrete model and prove existence and uniqueness of a global strong solution. The proof is based on an explicit representation of the Lagrange multiplier and on the observation that the obtained explicit drift term in the equation satisfies a one-sided linear growth condition on the constraint manifold. The theoretical analysis is complemented by numerical studies concerning the time discretization of our model. The performance of implicit Euler-type methods can be improved when using the explicit representation of the Lagrange multiplier to compute refined initial estimates for the Newton method applied in each time step.Comment: 20 pages; typos removed, references adde

Convergence of numerical methods for stochastic differential equations in mathematical finance

Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in textbooks, i.e., their coefficients and the corresponding derivatives appearing in the proofs are not uniformly bounded and hence, in particular, not globally Lipschitz. Specific examples are the Heston and Cox-Ingersoll-Ross models with square root coefficients and the Ait-Sahalia model with rational coefficient functions. Simple examples show that, for example, the Euler-Maruyama scheme may not converge either in the strong or weak sense when the standard assumptions do not hold. Nevertheless, new convergence results have been obtained recently for many such models in financial mathematics. These are reviewed here. Although weak convergence is of traditional importance in financial mathematics with its emphasis on expectations of functionals of the solutions, strong convergence plays a crucial role in Multi Level Monte Carlo methods, so it and also pathwise convergence will be considered along with methods which preserve the positivity of the solutions.Comment: Review Pape

A Milstein scheme for SPDEs

This article studies an infinite dimensional analog of Milstein's scheme for finite dimensional stochastic ordinary differential equations (SODEs). The Milstein scheme is known to be impressively efficient for SODEs which fulfill a certain commutativity type condition. This article introduces the infinite dimensional analog of this commutativity type condition and observes that a certain class of semilinear stochastic partial differential equation (SPDEs) with multiplicative trace class noise naturally fulfills the resulting infinite dimensional commutativity condition. In particular, a suitable infinite dimensional analog of Milstein's algorithm can be simulated efficiently for such SPDEs and requires less computational operations and random variables than previously considered algorithms for simulating such SPDEs. The analysis is supported by numerical results for a stochastic heat equation and stochastic reaction diffusion equations showing signifficant computational savings.Comment: The article is slightly revised and shortened. In particular, some numerical simulations are remove

Stable and fast semi-implicit integration of the stochastic Landau-Lifshitz equation

We propose new semi-implicit numerical methods for the integration of the stochastic Landau-Lifshitz equation with built-in angular momentum conservation. The performance of the proposed integrators is tested on the 1D Heisenberg chain. For this system, our schemes show better stability properties and allow us to use considerably larger time steps than standard explicit methods. At the same time, these semi-implicit schemes are also of comparable accuracy to and computationally much cheaper than the standard midpoint implicit method. The results are of key importance for atomistic spin dynamics simulations and the study of spin dynamics beyond the macro spin approximation.Comment: 24 pages, 5 figure