Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations

DOI10.1016/j.jcp.2022.111503OpenAlexW4288458715WikidataQ114163217 ScholiaQ114163217MaRDI QIDQ2168314

Yihua Cai, Shaojie Zeng, Qingsong Zou

Publication date: 31 August 2022

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2022.111503

zbMATH Keywords

neural networkforward-backward stochastic differential equationstemporal-difference learninghigh-dimensional PDEs

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Artificial intelligence (68Txx) Partial differential equations of mathematical physics and other areas of application (35Qxx)

Related Items

An extreme learning machine-based method for computational PDEs in higher dimensions

Uses Software

• DiffSharp
• Adam

Cites Work

• Unnamed Item
• Unnamed Item
• DiffSharp
• Numerical simulation of quadratic BSDEs
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Weak adversarial networks for high-dimensional partial differential equations
• Multilayer feedforward networks are universal approximators
• The Deep Ritz Method: a deep learning-based numerical algorithm for solving variational problems
• Functional multi-layer perceptron: A nonlinear tool for functional data analysis
• DGM: a deep learning algorithm for solving partial differential equations
• nPINNs: nonlocal physics-informed neural networks for a parametrized nonlocal universal Laplacian operator. Algorithms and applications
• B-PINNs: Bayesian physics-informed neural networks for forward and inverse PDE problems with noisy data
• PFNN: a penalty-free neural network method for solving a class of second-order boundary-value problems on complex geometries
• SPINN: sparse, physics-based, and partially interpretable neural networks for PDEs
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• Adversarial uncertainty quantification in physics-informed neural networks
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• Machine learning for semi linear PDEs
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Nonlinear Partial Differential Equations for Scientists and Engineers
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Deep Splitting Method for Parabolic PDEs
• Deep backward schemes for high-dimensional nonlinear PDEs
• Solving high-dimensional partial differential equations using deep learning
• Deep Nitsche Method: Deep Ritz Method with Essential Boundary Conditions
• Physics-Informed Generative Adversarial Networks for Stochastic Differential Equations

This page was built for publication: Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations