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math.NA2020
Data-driven Solution of Stochastic Differential Equations Using Maximum Entropy Basis Functions
Vedang M. Deshpande, Raktim Bhattacharya
In this paper we present a data-driven approach for uncertainty propagation. In particular, we consider stochastic differential equations with parametric uncertainty. Solution of t…
math.NA2019
A unified framework to generate optimized compact finite difference schemes
Vedang M. Deshpande, Raktim Bhattacharya, Diego A. Donzis
A unified framework to derive optimized compact schemes for a uniform grid is presented. The optimal scheme coefficients are determined analytically by solving an optimization prob…