Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients

DOI10.4310/CMS.2021.v19.n5.a1zbMath1475.65157arXiv1809.07321WikidataQ115205048 ScholiaQ115205048MaRDI QIDQ2057087

Arnulf Jentzen, Timo Welti, Diyora Salimova

Publication date: 8 December 2021

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.07321

zbMATH Keywords

partial differential equationsnumerical approximationcurse of dimensionalityFeynman-Kacdeep neural networks

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (31)

Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black--Scholes Partial Differential Equations ⋮ On a multilevel Levenberg–Marquardt method for the training of artificial neural networks and its application to the solution of partial differential equations ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations ⋮ Deep neural network approximations for solutions of PDEs based on Monte Carlo algorithms ⋮ Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities ⋮ Full error analysis for the training of deep neural networks ⋮ Unbiased Deep Solvers for Linear Parametric PDEs ⋮ Deep Neural Network Surrogates for Nonsmooth Quantities of Interest in Shape Uncertainty Quantification ⋮ Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation ⋮ Deep ReLU neural network approximation in Bochner spaces and applications to parametric PDEs ⋮ Exponential ReLU neural network approximation rates for point and edge singularities ⋮ XVA in a multi-currency setting with stochastic foreign exchange rates ⋮ Overall error analysis for the training of deep neural networks via stochastic gradient descent with random initialisation ⋮ Active learning based sampling for high-dimensional nonlinear partial differential equations ⋮ Space-time error estimates for deep neural network approximations for differential equations ⋮ An extreme learning machine-based method for computational PDEs in higher dimensions ⋮ Lower bounds for artificial neural network approximations: a proof that shallow neural networks fail to overcome the curse of dimensionality ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Neural network approximation and estimation of classifiers with classification boundary in a Barron class ⋮ Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus ⋮ Approximation properties of residual neural networks for fractional differential equations ⋮ Mobility Estimation for Langevin Dynamics Using Control Variates ⋮ Approximation properties of residual neural networks for Kolmogorov PDEs ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Deep Splitting Method for Parabolic PDEs ⋮ Variational Monte Carlo -- bridging concepts of machine learning and high-dimensional partial differential equations ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning ⋮ DNN expression rate analysis of high-dimensional PDEs: application to option pricing ⋮ A theoretical analysis of deep neural networks and parametric PDEs ⋮ The Barron space and the flow-induced function spaces for neural network models

This page was built for publication: Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients