scholarly journals Variational Monte Carlo—bridging concepts of machine learning and high-dimensional partial differential equations

2019 ◽  
Vol 45 (5-6) ◽  
pp. 2503-2532 ◽  
Author(s):  
Martin Eigel ◽  
Reinhold Schneider ◽  
Philipp Trunschke ◽  
Sebastian Wolf
Keyword(s):  
Machine Learning ◽  
Monte Carlo ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
High Dimensional ◽  
Partial Differential ◽  
Variational Monte Carlo

Applying neural network for identification of land surface model parameters

2021 ◽  
Author(s):  
Ruslan Chernyshev ◽  
Mikhail Krinitskiy ◽  
Viktor Stepanenko
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Neural Networks ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Thermodynamic Model ◽  
Land Surface ◽  
Land Surface Model ◽  
Surface Model ◽  
Partial Differential

<p>This work is devoted to development of neural networks for identification of partial differential equations (PDE) solved in the land surface scheme of INM RAS Earth System model (ESM). Atmospheric and climate models are in the top of the most demanding for supercomputing resources among research applications. Spatial resolution and a multitude of physical parameterizations used in ESMs continuously increase. Most of parameters are still poorly constrained, many of them cannot be measured directly. To optimize model calibration time, using neural networks looks a promising approach. Neural networks are already in wide use in satellite imaginary (Su Jeong Lee, et al, 2015; Krinitskiy M. et al, 2018) and for calibrating parameters of land surface models (Yohei Sawada el al, 2019). Neural networks have demonstrated high efficiency in solving conventional problems of mathematical physics (Lucie P. Aarts el al, 2001; Raissi M. et al, 2020). </p><p>We develop a neural networks for optimizing parameters of nonlinear soil heat and moisture transport equation set. For developing we used Python3 based programming tools implemented on GPUs and Ascend platform, provided by Huawei. Because of using hybrid approach combining neural network and classical thermodynamic equations, the major purpose was finding the way to correctly calculate backpropagation gradient of error function, because model trains and is being validated on the same temperature data, while model output is heat equation parameter, which is typically not known. Neural network model has been runtime trained using reference thermodynamic model calculation with prescribed parameters, every next thermodynamic model step has been used for fitting the neural network until it reaches the loss function tolerance.</p><p>Literature:</p><p>1.     Aarts, L.P., van der Veer, P. “Neural Network Method for Solving Partial Differential Equations”. Neural Processing Letters 14, 261–271 (2001). https://doi.org/10.1023/A:1012784129883</p><p>2.     Raissi, M., P. Perdikaris and G. Karniadakis. “Physics Informed Deep Learning (Part I): Data-driven Solutions of Nonlinear Partial Differential Equations.” ArXiv abs/1711.10561 (2017): n. pag.</p><p>3.     Lee, S.J., Ahn, MH. & Lee, Y. Application of an artificial neural network for a direct estimation of atmospheric instability from a next-generation imager. Adv. Atmos. Sci. 33, 221–232 (2016). https://doi.org/10.1007/s00376-015-5084-9</p><p>4.     Krinitskiy M, Verezemskaya P, Grashchenkov K, Tilinina N, Gulev S, Lazzara M. Deep Convolutional Neural Networks Capabilities for Binary Classification of Polar Mesocyclones in Satellite Mosaics. Atmosphere. 2018; 9(11):426.</p><p>5.     Sawada, Y.. “Machine learning accelerates parameter optimization and uncertainty assessment of a land surface model.” ArXiv abs/1909.04196 (2019): n. pag.</p><p>6.     Shufen Pan et al. Evaluation of global terrestrial evapotranspiration using state-of-the-art approaches in remote sensing, machine learning and land surface modeling. Hydrol. Earth Syst. Sci., 24, 1485–1509 (2020)</p><p>7.     Chaney, Nathaniel & Herman, Jonathan & Ek, M. & Wood, Eric. (2016). Deriving Global Parameter Estimates for the Noah Land Surface Model using FLUXNET and Machine Learning: Improving Noah LSM Parameters. Journal of Geophysical Research: Atmospheres. 121. 10.1002/2016JD024821.</p><p> </p><p> </p>

scholarly journals A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics

Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 136
Author(s):  
Stefan Kremsner ◽  
Alexander Steinicke ◽  
Michaela Szölgyenyi
Keyword(s):  
Neural Network ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Deep Neural Network ◽  
Risk Measure ◽  
Elliptic Partial Differential Equations ◽  
High Dimensional ◽  
Control Problems ◽  
Partial Differential ◽  
Neural Network Algorithm

In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is high-dimensional. The solutions to such control problems correspond to solutions of deterministic semilinear (degenerate) elliptic partial differential equations. In the present paper we propose a novel deep neural network algorithm for solving such partial differential equations in high dimensions in order to be able to compute the proposed risk measure in a complex high-dimensional economic environment. The method is based on the correspondence of elliptic partial differential equations to backward stochastic differential equations with unbounded random terminal time. In particular, backward stochastic differential equations—which can be identified with solutions of elliptic partial differential equations—are approximated by means of deep neural networks.

An acceleration scheme for deep learning-based BSDE solver using weak expansions

2020 ◽  
Vol 07 (02) ◽  
pp. 2050012
Author(s):  
Riu Naito ◽  
Toshihiro Yamada
Keyword(s):  
Deep Learning ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Backward Stochastic Differential Equation ◽  
Nonlinear Partial Differential Equations ◽  
High Dimensional ◽  
Parabolic Partial Differential Equations ◽  
Weak Approximation ◽  
Learning Method ◽  
Partial Differential

This paper gives an acceleration scheme for deep backward stochastic differential equation (BSDE) solver, a deep learning method for solving BSDEs introduced in Weinan et al. [Weinan, E, J Han and A Jentzen (2017). Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations, Communications in Mathematics and Statistics, 5(4), 349–380]. The solutions of nonlinear partial differential equations are quickly estimated using technique of weak approximation even if the dimension is high. In particular, the loss function and the relative error for the target solution become sufficiently small through a smaller number of iteration steps in the new deep BSDE solver.

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