One-Dimensional Numerical Algorithms for Gradient Flows in the p-Wasserstein Spaces

We numerically approximate, on the real line, solutions to a large class of parabolic partial differential equations which are “gradient flows” of some energy functionals with respect to the L ^p -Wasserstein metrics for all p>1. Our method relies on variational principles involving the optimal transport problem with general strictly convex cost functions.     

Further Results on Global Convergence and Stability of Globally Projected Dynamical Systems

Several risk management and exotic option pricing models have been proposed in the literature which may price European options correctly. A prerequisite of these models is the interpolation of the market implied volatilities or the European option price function. However, the no-arbitrage principle places shape restrictions on the option price function. In this paper, an interpolation method is developed to preserve the shape of the option price function. The interpolation is optimal in terms of minimizing the distance between the implied risk-neutral density and the prior approximation function in L ²-norm, which is important when only a few observations are available. We reformulate the problem into a system of semismooth equations so that it can be solved efficiently.     

Stationary solution of the Navier-Stokes equations in a 2d bounded domain for incompressible flow with discontinuous density

We consider the boundary value problem for the stationary Navier-Stokes equations describing an inhomogeneous incompressible fluid in a two dimensional bounded domain. We show the existence of a weak solution with boundary values for the density prescribed in L^￥L^{\infty}.     

Quantitative error estimates for the large friction limit of Vlasov equation with nonlocal forces

We study an asymptotic limit of Vlasov type equation with nonlocal interaction forces where the friction terms are dominant. We provide a quantitative estimate of this large friction limit from the kinetic equation to a continuity type equation with a nonlocal velocity field, the so-called aggregation equation, by employing 2-Wasserstein distance. By introducing an intermediate system, given by the pressureless Euler equations with nonlocal forces, we can quantify the error between the spatial densities of the kinetic equation and the pressureless Euler system by means of relative entropy type arguments combined with the 2-Wasserstein distance. This together with the quantitative error estimate between the pressureless Euler system and the aggregation equation in 2-Wasserstein distance in [Commun. Math. Phys, 365, (2019), 329–361] establishes the quantitative bounds on the error between the kinetic equation and the aggregation equation.     

Weighted L quantile distance estimators for randomly censored data

The asymptotic properties of a family of minimum quantile distance estimators for randomly censored data sets are considered. These procedures produce an estimator of the parameter vector that minimizes a weighted L² distance measure between the Kaplan-Meier quantile function and an assumed parametric family of quantile functions. Regularity conditions are provided which insure that these estimators are consistent and asymptotically normal. An optimal weight function is derived for single parameter families, which, for location/scale families, results in censored sample analogs of estimators such as those suggested by Parzen.     

Contractivity of Wasserstein metrics and asymptotic profiles for scalar conservation laws

The aim of this paper is to analyze contractivity properties of Wasserstein-type metrics for one-dimensional scalar conservation laws with nonnegative, L^∞ and compactly supported initial data and its implications on the long time asymptotics. The flux is assumed to be convex and without any growth condition at the zero state. We propose a time-parameterized family of functions as intermediate asymptotics and prove the solutions, after a time-depending scaling, converge toward this family in the d_∞-Wasserstein metric. This asymptotic behavior relies on the aforementioned contraction property for conservation laws in the space of probability densities metrized with the d_∞-Wasserstein distance. Finally, we also give asymptotic profiles for initial data whose distributional derivative is a probability measure.     

Numerical solution of a minimax ergodic optimal control problem

In this work we consider an L^∞ minimax ergodic optimal control problem with cumulative cost. We approximate the cost function as a limit of evolutions problems. We present the associated Hamilton-Jacobi-Bellman equation and we prove that it has a unique solution in the viscosity sense. As this HJB equation is consistent with a numerical procedure, we use this discretization to obtain a procedure for the primitive problem. For the numerical solution of the ergodic version we need a perturbation of the instantaneous cost function. We give an appropriate selection of the discretization and penalization parameters to obtain discrete solutions that converge to the optimal cost. We present numerical results. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Duality on gradient estimates and Wasserstein controls

We establish a duality between Lp-Wasserstein control and Lq-gradient estimate in a general framework. Our result extends a known result for a heat flow on a Riemannian manifold. Especially, we can derive a Wasserstein control of a heat flow directly from the corresponding gradient estimate of the heat semigroup without using any other notion of lower curvature bound. By applying our result to a subelliptic heat flow on a Lie group, we obtain a coupling of heat distributions which carries a good control of their relative distance.     

Approximation de la L1-distance de Wasserstein

In this Note, we show that an optimal coupling for the L¹-Wasserstein distance, in the case of ℝⁿ space, can be obtained via the resolution of nonlinear equation g(·) = α, where g is a cyclically monotone application. Hence, to get an approximation to the optimal coupling, it suffices to construct a sequence (x_n)_n >0 that converges to the solution of the previous equation.     

Functional k-sample problem when data are density functions

This paper deals with the k-sample problem for functional data when the observations are density functions. We introduce test procedures based on distances between pairs of density functions (L ₁ distance and Hellinger distance, among others). A simulation study is carried out to compare the practical behaviour of the proposed tests. Theoretical derivations have been done in order to allow weighted samples in the test procedures. The paper ends with a real data example: for a collection of European regions we estimate the regional relative income densities and then we test the significance of the country effect.     

Error analysis of the L2 least‐squares finite element method for incompressible inviscid rotational flows

In this article we analyze the L² least‐squares finite element approximations to the incompressible inviscid rotational flow problem, which is recast into the velocity‐vorticity‐pressure formulation. The least‐squares functional is defined in terms of the sum of the squared L² norms of the residual equations over a suitable product function space. We first derive a coercivity type a priori estimate for the first‐order system problem that will play the crucial role in the error analysis. We then show that the method exhibits an optimal rate of convergence in the H¹ norm for velocity and pressure and a suboptimal rate of convergence in the L² norm for vorticity. A numerical example in two dimensions is presented, which confirms the theoretical error estimates. © 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2004     

Approximation to Probabilities Through Uniform Laws on Convex Sets

Let P be a probability distribution on ^d and let be the family of the uniform probabilities defined on compact convex sets of ^d with interior non-empty. We prove that there exists a best approximation to P in , based on the L ₂-Wasserstein distance. The approximation can be considered as the best representation of P by a convex set in the minimum squares setting, improving on other existent representations for the shape of a distribution. As a by-product we obtain properties related to the limit behavior and marginals of uniform distributions on convex sets which can be of independent interest.     

Elliptic optimal control problems with <Emphasis Type="Italic">L</Emphasis><Superscript>1</Superscript>-control cost and applications for the placement of control devices

Elliptic optimal control problems with L ¹-control cost are analyzed. Due to the nonsmooth objective functional the optimal controls are identically zero on large parts of the control domain. For applications, in which one cannot put control devices (or actuators) all over the control domain, this provides information about where it is most efficient to put them. We analyze structural properties of L ¹-control cost solutions. For solving the non-differentiable optimal control problem we propose a semismooth Newton method that can be stated and analyzed in function space and converges locally with a superlinear rate. Numerical tests on model problems show the usefulness of the approach for the location of control devices and the efficiency of our algorithm.     

Graph diameter in long‐range percolation

We study the asymptotic growth of the diameter of a graph obtained by adding sparse “long” edges to a square box in ${\mathbb Z}^dWe study the asymptotic growth of the diameter of a graph obtained by adding sparse “long” edges to a square box in ${\mathbb Z}^d$. We focus on the cases when an edge between x and y is added with probability decaying with the Euclidean distance as |x ? y|^?s+o(1) when |x ? y| → ∞. For s ∈ (d, 2d) we show that the graph diameter for the graph reduced to a box of side L scales like (log L)^Δ+o(1) where Δ^?1 := log₂(2d/s). In particular, the diameter grows about as fast as the typical graph distance between two vertices at distance L. We also show that a ball of radius r in the intrinsic metric on the (infinite) graph will roughly coincide with a ball of radius exp{r^1/Δ+o(1)} in the Euclidean metric. © 2010 Wiley Periodicals, Inc. Random Struct. Alg., 39, 210‐227, 2011     

A Semigroup Approach to Harmonic Maps

We present a semigroup approach to harmonic maps between metric spaces. Our basic assumption on the target space (N,d) is that it admits a barycenter contraction, i.e. a contracting map which assigns to each probability measure q on N a point b(q) in N. This includes all metric spaces with globally nonpositive curvature in the sense of Alexandrov as well as all metric spaces with globally nonpositive curvature in the sense of Busemann. It also includes all Banach spaces.The analytic input comes from the domain space (M,) where we assume that we are given a Markov semigroup (p_t)_t>0. Typical examples come from elliptic or parabolic second-order operators on Rⁿ, from Lévy type operators, from Laplacians on manifolds or on metric measure spaces and from convolution operators on groups. In contrast to the work of Korevaar and Schoen (1993, 1997), Jost (1994, 1997), Eells and Fuglede (2001) our semigroups are not required to be symmetric.The linear semigroup acting, e.g., on the space of bounded measurable functions u:MR gives rise to a nonlinear semigroup (P_t^*)_t acting on certain classes of measurable maps f:MN. We will show that contraction and smoothing properties of the linear semigroup (p_t)_t can be extended to the nonlinear semigroup (P_t^*)_t, for instance, L_p–L_q smoothing, hypercontractivity, and exponentially fast convergence to equilibrium. Among others, we state existence and uniqueness of the solution to the Dirichlet problem for harmonic maps between metric spaces. Moreover, for this solution we prove Lipschitz continuity in the interior and Hölder continuity at the boundary.Our approach also yields a new interpretation of curvature assumptions which are usually required to deduce regularity results for the harmonic map flow: lower Ricci curvature bounds on the domain space are equivalent to estimates of the L₁-Wasserstein distance between the distribution of two Brownian motions in terms of the distance of their starting points; nonpositive sectional curvature on the target space is equivalent to the fact that the L₁-Wasserstein distance of two distributions always dominates the distance of their barycenters.Dedicated to the memory of Professor Dr. Heinz Bauer     

A linear-time algorithm for solving the molecular distance geometry problem with exact inter-atomic distances

We describe a linear-time algorithm for solving the molecular distance geometry problem with exact distances between all pairs of atoms. This problem needs to be solved in every iteration of general distance geometry algorithms for protein modeling such as the EMBED algorithm by Crippen and Havel (Distance Geometry and Molecular Conformation, Wiley, 1988). However, previous approaches to the problem rely on decomposing an distance matrix or minimizing an error function and require O(n²) to O(³) floating point operations. The linear-time algorithm will provide a much more efficient approach to the problem, especially in large-scale applications. It exploits the problem structure and hence is able to identify infeasible data more easily as well.     

Domain perturbations and estimates for the solutions of second order elliptic equations

We study the dependence of the variational solution of the inhomogeneous Dirichlet problem for a second order elliptic equation with respect to perturbations of the domain. We prove optimal L² and energy estimates for the difference of two solutions in two open sets in terms of the “distance” between them and suitable geometrical parameters which are related to the regularity of their boundaries. We derive such estimates when at least one of the involved sets is uniformly Lipschitz: due to the connection of this problem with the regularity properties of the solutions in the L² family of Sobolev–Besov spaces, the Lipschitz class is the reasonably weakest one compatible with the optimal estimates.     

Second-Order Analysis for Control Constrained Optimal Control Problems of Semilinear Elliptic Systems

This paper presents a second-order analysis for a simple model optimal control problem of a partial differential equation, namely, a well-posed semilinear elliptic system with constraints on the control variable only. The cost to be minimized is a standard quadratic functional. Assuming the feasible set to be polyhedric, we state necessary and sufficient second-order optimality conditions, including a characterization of the quadratic growth condition. Assuming that the second-order sufficient condition holds, we give a formula for the second-order expansion of the value of the problem as well as the directional derivative of the optimal control, when the cost function is perturbed. Then we extend the theory of second-order optimality conditions to the case of vector-valued controls when the feasible set is defined by local and smooth convex constraints. When the space dimension n is greater than 3, the results are based on a two norms approach, involving spaces L ² and L ^s , with s>n/2 . Accepted 27 January 1997     

Regularity results and optimal control problems for the perturbation of boussinesq equations of the ocean

We study in this article a method which computes the variability of current, density and pressure in an oceanic domain. The equations are of Navier-Stokes type for the velocity and pressure, of transport-diffusion type for the density. They are linearized around a given mean circulation and modified by the Boussinesq approximation: density variations are neglected except in the terms of gravity acceleration. The existence and uniqueness of a solution are proved for two sets of equations: first the three-dimensional problem and then the two-dimensional cyclic problem derived by assuming a sinusoidal x-dependence for the perturbation of mean flow. The latter corresponds to a modelization of tropical instability waves which are illustrated by the El Nino phenomenon.

The value of the pressure p on the surface of ocean is of great interest for physical interpretation. To define that quantity, it is necessary to have the regularity p ? H ¹. We have proved that the perturbation (u,ρ,p) of mean circulation is such that: u ? L ²(0T,H ²), ρ ? L ²(0,T H ²) and p ? L ² L ²(0,T H ¹), provided the perturbation of the windstress is sufficiently regular and satisfies compatibility relations. It is proved by means of an extension method, with even-odd reflection. We then develop a problem of control. The observation is the Variability of pressure on the surface of ocean. The control is the variability of windstress f, which acts as to forcing of the perturbation. We prove the existence and uniqueness of an optimal control, which is characterized by a set of equations including the direct problem and the adjoint problem. These results are valid for the three-dimensional problem and the two-dimensional cyclic problem.     

Composite finite element approximation for nonlinear parabolic problems in nonconvex polygonal domains

We study a new class of finite elements so‐called composite finite elements (CFEs), introduced earlier by Hackbusch and Sauter, Numer. Math., 1997; 75:447‐472, for the approximation of nonlinear parabolic equation in a nonconvex polygonal domain. A two‐scale CFE discretization is used for the space discretizations, where the coarse‐scale grid discretized the domain at an appropriate distance from the boundary and the fine‐scale grid is used to resolve the boundary. A continuous, piecewise linear CFE space is employed for the spatially semidiscrete finite element approximation and the temporal discretizations is based on modified linearized backward Euler scheme. We derive almost optimal‐order convergence in space and optimal order in time for the CFE method in the L^∞(L²) norm. Numerical experiment is carried out for an L‐shaped domain to illustrate our theoretical findings.