scholarly journals Simulator-free solution of high-dimensional stochastic elliptic partial differential equations using deep neural networks

2020 ◽  
Vol 404 ◽  
pp. 109120 ◽  
Author(s):  
Sharmila Karumuri ◽  
Rohit Tripathy ◽  
Ilias Bilionis ◽  
Jitesh Panchal
Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 136
Author(s):  
Stefan Kremsner ◽  
Alexander Steinicke ◽  
Michaela Szölgyenyi

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.


Author(s):  
Gitta Kutyniok ◽  
Philipp Petersen ◽  
Mones Raslan ◽  
Reinhold Schneider

AbstractWe derive upper bounds on the complexity of ReLU neural networks approximating the solution maps of parametric partial differential equations. In particular, without any knowledge of its concrete shape, we use the inherent low dimensionality of the solution manifold to obtain approximation rates which are significantly superior to those provided by classical neural network approximation results. Concretely, we use the existence of a small reduced basis to construct, for a large variety of parametric partial differential equations, neural networks that yield approximations of the parametric solution maps in such a way that the sizes of these networks essentially only depend on the size of the reduced basis.


2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Xinhai Chen ◽  
Rongliang Chen ◽  
Qian Wan ◽  
Rui Xu ◽  
Jie Liu

AbstractPartial differential equations (PDEs) are ubiquitous in natural science and engineering problems. Traditional discrete methods for solving PDEs are usually time-consuming and labor-intensive due to the need for tedious mesh generation and numerical iterations. Recently, deep neural networks have shown new promise in cost-effective surrogate modeling because of their universal function approximation abilities. In this paper, we borrow the idea from physics-informed neural networks (PINNs) and propose an improved data-free surrogate model, DFS-Net. Specifically, we devise an attention-based neural structure containing a weighting mechanism to alleviate the problem of unstable or inaccurate predictions by PINNs. The proposed DFS-Net takes expanded spatial and temporal coordinates as the input and directly outputs the observables (quantities of interest). It approximates the PDE solution by minimizing the weighted residuals of the governing equations and data-fit terms, where no simulation or measured data are needed. The experimental results demonstrate that DFS-Net offers a good trade-off between accuracy and efficiency. It outperforms the widely used surrogate models in terms of prediction performance on different numerical benchmarks, including the Helmholtz, Klein–Gordon, and Navier–Stokes equations.


2021 ◽  
Author(s):  
Maximilian Gelbrecht ◽  
Niklas Boers ◽  
Jürgen Kurths

<p>When predicting complex systems such as parts of the Earth system, one typically relies on differential equations which can often be incomplete, missing unknown influences or higher order effects. By augmenting the equations with artificial neural networks we can compensate these deficiencies. The resulting hybrid models are also known as universal differential equations. We show that this can be used to predict the dynamics of high-dimensional chaotic partial differential equations, such as the ones describing atmospheric dynamics, even when only short and incomplete training data are available. In a first step towards a hybrid atmospheric model, simplified, conceptual atmospheric models are used in synthetic examples where parts of the governing equations are replaced with artificial neural networks. The forecast horizon for these high dimensional systems is typically much larger than the training dataset, showcasing the large potential of the approach.<span> </span></p>


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