Three ways to solve partial differential equations with neural networks — A review
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Publication:6068232
curse of dimensionalityHamilton-Jacobi-Bellman equationsneural networkspartial differential equationstochastic processFeynman-Kacbackward differential equationPINN
Artificial neural networks and deep learning (68T07) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Computational learning theory (68Q32) Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Abstract: Neural networks are increasingly used to construct numerical solution methods for partial differential equations. In this expository review, we introduce and contrast three important recent approaches attractive in their simplicity and their suitability for high-dimensional problems: physics-informed neural networks, methods based on the Feynman-Kac formula and methods based on the solution of backward stochastic differential equations. The article is accompanied by a suite of expository software in the form of Jupyter notebooks in which each basic methodology is explained step by step, allowing for a quick assimilation and experimentation. An extensive bibliography summarizes the state of the art.
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(13)- Solving the discretised neutron diffusion equations using neural networks
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