1,674 research outputs found
The DPG-star method
This article introduces the DPG-star (from now on, denoted DPG) finite
element method. It is a method that is in some sense dual to the discontinuous
Petrov-Galerkin (DPG) method. The DPG methodology can be viewed as a means to
solve an overdetermined discretization of a boundary value problem. In the same
vein, the DPG methodology is a means to solve an underdetermined
discretization. These two viewpoints are developed by embedding the same
operator equation into two different saddle-point problems. The analyses of the
two problems have many common elements. Comparison to other methods in the
literature round out the newly garnered perspective. Notably, DPG and DPG
methods can be seen as generalizations of and
least-squares methods, respectively. A priori error analysis and a posteriori
error control for the DPG method are considered in detail. Reports of
several numerical experiments are provided which demonstrate the essential
features of the new method. A notable difference between the results from the
DPG and DPG analyses is that the convergence rates of the former are
limited by the regularity of an extraneous Lagrange multiplier variable
Testing for Dependence in Non-Gaussian Time Series Data
This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete, observations. Locally most powerful tests for various forms of dependence are derived, based on an approximate likelihood function. Invariance to the distribution adopted for the data, conditional on the latent process, is shown to hold in certain cases. The tests are applied to various financial data sets, and Monte Carlo experiments used to gauge their finite sample propertiesLatent variable model; locally most powerful tests; approximate likelihood; correlation tests; stochastic volatility tests
Proximal Galerkin: A structure-preserving finite element method for pointwise bound constraints
The proximal Galerkin finite element method is a high-order, low iteration
complexity, nonlinear numerical method that preserves the geometric and
algebraic structure of bound constraints in infinite-dimensional function
spaces. This paper introduces the proximal Galerkin method and applies it to
solve free boundary problems, enforce discrete maximum principles, and develop
scalable, mesh-independent algorithms for optimal design. The paper leads to a
derivation of the latent variable proximal point (LVPP) algorithm: an
unconditionally stable alternative to the interior point method. LVPP is an
infinite-dimensional optimization algorithm that may be viewed as having an
adaptive barrier function that is updated with a new informative prior at each
(outer loop) optimization iteration. One of the main benefits of this algorithm
is witnessed when analyzing the classical obstacle problem. Therein, we find
that the original variational inequality can be replaced by a sequence of
semilinear partial differential equations (PDEs) that are readily discretized
and solved with, e.g., high-order finite elements. Throughout this work, we
arrive at several unexpected contributions that may be of independent interest.
These include (1) a semilinear PDE we refer to as the entropic Poisson
equation; (2) an algebraic/geometric connection between high-order
positivity-preserving discretizations and certain infinite-dimensional Lie
groups; and (3) a gradient-based, bound-preserving algorithm for two-field
density-based topology optimization. The complete latent variable proximal
Galerkin methodology combines ideas from nonlinear programming, functional
analysis, tropical algebra, and differential geometry and can potentially lead
to new synergies among these areas as well as within variational and numerical
analysis
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