Error analysis for physics-informed neural networks (PINNs) approximating Kolmogorov PDEs
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Publication:2095545
Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Heat equation (35K05) Nonlinear parabolic equations (35K55) KdV equations (Korteweg-de Vries equations) (35Q53) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Abstract: Physics informed neural networks approximate solutions of PDEs by minimizing pointwise residuals. We derive rigorous bounds on the error, incurred by PINNs in approximating the solutions of a large class of linear parabolic PDEs, namely Kolmogorov equations that include the heat equation and Black-Scholes equation of option pricing, as examples. We construct neural networks, whose PINN residual (generalization error) can be made as small as desired. We also prove that the total -error can be bounded by the generalization error, which in turn is bounded in terms of the training error, provided that a sufficient number of randomly chosen training (collocation) points is used. Moreover, we prove that the size of the PINNs and the number of training samples only grow polynomially with the underlying dimension, enabling PINNs to overcome the curse of dimensionality in this context. These results enable us to provide a comprehensive error analysis for PINNs in approximating Kolmogorov PDEs.
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(29)- When do extended physics-informed neural networks (XPINNs) improve generalization?
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