Numerical simulations for full history recursive multilevel Picard approximations for systems of high-dimensional partial differential equations

DOI10.4208/CICP.OA-2020-0130MaRDI QIDQ5162373zbMATH OpenOpenAlexFDO

Authors Sebastian Becker, Ramon Braunwarth, Martin Hutzenthaler, Arnulf Jentzen, Philippe von Wurstemberger

Publication date 2 November 2021

Published in Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.10206

zbMATH Keywords

curse of dimensionalityhigh-dimensionalmultilevel Picardpartial differential equationPDEsemilinear

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: One of the most challenging issues in applied mathematics is to develop and analyze algorithms which are able to approximately compute solutions of high-dimensional nonlinear partial differential equations (PDEs). In particular, it is very hard to develop approximation algorithms which do not suffer under the curse of dimensionality in the sense that the number of computational operations needed by the algorithm to compute an approximation of accuracy $epsilon>0$ grows at most polynomially in both the reciprocal $1/epsilon$ of the required accuracy and the dimension $dinmathbbN$ of the PDE. Recently, a new approximation method, the so-called full history recursive multilevel Picard (MLP) approximation method, has been introduced and, until today, this approximation scheme is the only approximation method in the scientific literature which has been proven to overcome the curse of dimensionality in the numerical approximation of semilinear PDEs with general time horizons. It is a key contribution of this article to extend the MLP approximation method to systems of semilinear PDEs and to numerically test it on several example PDEs. More specifically, we apply the proposed MLP approximation method in the case of Allen-Cahn PDEs, Sine-Gordon-type PDEs, systems of coupled semilinear heat PDEs, and semilinear Black-Scholes PDEs in up to 1000 dimensions. The presented numerical simulation results suggest in the case of each of these example PDEs that the proposed MLP approximation method produces very accurate results in short runtimes and, in particular, the presented numerical simulation results indicate that the proposed MLP approximation scheme significantly outperforms certain deep learning based approximation methods for high-dimensional semilinear PDEs.

Recommendations

• Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions
• Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
• Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
• Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Cited in

(25)

• Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
• Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
• Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
• Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
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• A deep branching solver for fully nonlinear partial differential equations
• Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
• Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions
• Multilevel Picard approximations overcome the curse of dimensionality when approximating semilinear heat equations with gradient-dependent nonlinearities in L^p-sense
• Enforcing exact boundary and initial conditions in the deep mixed residual method
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Describes a project that uses

Uses Software

• PDE-Net
• DGM

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