Neural network representation of the probability density function of diffusion processes
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Abstract: Physics-informed neural networks are developed to characterize the state of dynamical systems in a random environment. The neural network approximates the probability density function (pdf) or the characteristic function (chf) of the state of these systems which satisfy the Fokker-Planck equation or an integro-differential equation under Gaussian and/or Poisson white noises. We examine analytically and numerically the advantages and disadvantages of solving each type of differential equation to characterize the state. It is also demonstrated how prior information of the dynamical system can be exploited to design and simplify the neural network architecture. Numerical examples show that: 1) the neural network solution can approximate the target solution even for partial integro-differential equations and system of PDEs describing the time evolution of the pdf/chf, 2) solving either the Fokker-Planck equation or the chf differential equation using neural networks yields similar pdfs of the state, and 3) the solution to these differential equations can be used to study the behavior of the state for different types of random forcings.
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Cited in
(9)- Misspecified diffusion models with high-frequency observations and an application to neural networks
- Numerical solution of the Fokker-Planck equation using physics-based mixture models
- Diffusion learning algorithms for feedforward neural networks
- Solving inverse stochastic problems from discrete particle observations using the Fokker-Planck equation and physics-informed neural networks
- Solving Fokker-Planck equation using deep learning
- Stationary Density Estimation of Itô Diffusions Using Deep Learning
- Data driven adaptive Gaussian mixture model for solving Fokker-Planck equation
- Embedding stochastic differential equations into neural networks via dual processes
- Adaptive deep density approximation for stochastic dynamical systems
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