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Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
作者:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：145/0  |  提交时间：2020/05/24
Forward backward stochastic differential equations  stochastic optimal control  stochastic maximum principle  projected quasi-Newton methods  
ON ENERGY STABLE, MAXIMUM-PRINCIPLE PRESERVING, SECOND-ORDER BDF SCHEME WITH VARIABLE STEPS FOR THE ALLEN-CAHN EQUATION 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 卷号: 58, 期号: 4, 页码: 2294-2314
作者:  Liao, Hong-lin;  Tang, Tao;  Zhou, Tao
收藏  |  浏览/下载：115/0  |  提交时间：2021/01/14
Allen-Cahn equation  nonuniform BDF2 scheme  energy stability  discrete maximum principle  convergence analysis  
EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2672-2697
作者:  Sun, Yabing;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：152/0  |  提交时间：2018/10/07
mean-field backward stochastic differential equation  theta-schemes  error estimates  
WEIGHTED APPROXIMATE FEKETE POINTS: SAMPLING FOR LEAST-SQUARES POLYNOMIAL APPROXIMATION 期刊论文
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2018, 卷号: 40, 期号: 1, 页码: A366-A387
作者:  Guo, Ling;  Narayan, Akil;  Yan, Liang;  Zhou, Tao
收藏  |  浏览/下载：145/0  |  提交时间：2018/07/30
uncertainty quantification  least-squares approximations  Fekete points  QR decomposition  
Deferred Correction Methods for Forward Backward Stochastic Differential Equations 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2017, 卷号: 10, 期号: 2, 页码: 222-242
作者:  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：119/0  |  提交时间：2018/07/30
Deferred correction method  forward backward stochastic differential equations  Euler method  high-order scheme  
Fast parareal iterations for fractional diffusion equations 期刊论文
JOURNAL OF COMPUTATIONAL PHYSICS, 2017, 卷号: 329, 页码: 210-226
作者:  Wu, Shu-Lin;  Zhou, Tao
收藏  |  浏览/下载：94/0  |  提交时间：2018/07/30
Parareal algorithm  Fractional PDEs  Convergence analysis  Parameter optimization  
A GENERALIZED SAMPLING AND PRECONDITIONING SCHEME FOR SPARSE APPROXIMATION OF POLYNOMIAL CHAOS EXPANSIONS 期刊论文
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2017, 卷号: 39, 期号: 3, 页码: A1114-A1144
作者:  Jakeman, John D.;  Narayan, Akil;  Zhou, Tao
收藏  |  浏览/下载：108/0  |  提交时间：2018/07/30
uncertainty quantification  polynomial chaos  compressed sensing