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math.NA2020
Stochastic Gradient Descent for Semilinear Elliptic Equations with Uncertainties
Ting Wang, Jaroslaw Knap
Randomness is ubiquitous in modern engineering. The uncertainty is often modeled as random coefficients in the differential equations that describe the underlying physics. In this…
math.NA2019
Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states
Petr Plechac, Gabriel Stoltz, Ting Wang
We consider numerical schemes for computing the linear response of steady-state averages of stochastic dynamics with respect to a perturbation of the drift part of the stochastic d…