Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning

DOI10.1007/S11009-021-09871-9MaRDI QIDQ2157396zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 28 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.00144

zbMATH Keywords

Monte CarloBrownian motionelliptic equationFeynman-Kac formulatemporal difference learning

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The Feynman-Kac formula provides a way to understand solutions to elliptic partial differential equations in terms of expectations of continuous time Markov processes. This connection allows for the creation of numerical schemes for solutions based on samples of these Markov processes which have advantages over traditional numerical methods in some cases. However, na"ive numerical implementations suffer from statistical bias and sampling error. We present methods to discretize the stochastic process appearing in the Feynman-Kac formula that reduce the bias of the numerical scheme. We also propose using temporal difference learning to assemble information from random samples in a way that is more efficient than the traditional Monte Carlo method.

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Cited in

(4)

• Connecting stochastic optimal control and reinforcement learning
• An analysis of the derivative-free loss method for solving PDEs
• Interpolating between BSDEs and PINNs: deep learning for elliptic and parabolic boundary value problems
• Learning elliptic partial differential equations with randomized linear algebra

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